EXHIBIT 99.1
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| | NEWS RELEASE |
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| | Investors and Media Contacts: |
| | Bill Horning / Nate Purpura |
| | 925.658.6193 / 925.658.6247 |
THE PMI GROUP, INC. REPORTS
FOURTH QUARTER AND YEAR END 2007 FINANCIAL RESULTS
Walnut Creek, CA, March 17, 2008 - The PMI Group, Inc. (NYSE: PMI) (the “Company”) today reported a net loss for the full year 2007 of $915.3 million, or $10.81 per basic and diluted1 share. Net income for the full year 2006 was $419.7 million, or $4.57 per diluted share. The net loss for the fourth quarter 2007 was $1.0 billion or $12.51 per basic and diluted share1, compared to net income in the fourth quarter 2006 of $100.5 million, or $1.19 per diluted share. The net loss for the fourth quarter of 2007 was primarily due to our equity in the losses from FGIC of $776.1 million (after tax) and a net loss of $236.0 million in the U.S. Mortgage Insurance Operations due to increases in paid claims, loss adjustment expenses and additions to the reserve for losses (collectively “Losses and LAE”).
Key results include:
| ¡ | | U.S. Mortgage Insurance Operations2 — The net loss was $236.0 million in the fourth quarter of 2007. During the fourth quarter, the Company added $434.8 million to the reserves for losses and loss adjustment expenses and paid $114.5 million in claims. Total revenues in the fourth quarter increased by approximately 9% compared to the fourth quarter of 2006, driven by strong growth in net premiums written and earned. Insurance in force at the end of 2007 was $123.6 billion, representing a 20% increase from one year ago. |
| ¡ | | International Operations3 — PMI Australia posted net income of $17.8 million in the fourth quarter of 2007 on higher premiums earned and net investment income, partially offset by higher Losses and LAE. Losses and LAE increased in the fourth quarter of 2007 to $29.4 million from $17.8 million in the fourth quarter 2006 due primarily to higher claim rates. PMI Europe reported a net loss of $29.6 million in the fourth quarter 2007, primarily as a result of increased Losses and LAE of $22.1 million and an unrealized $8.4 million (pre-tax) mark-to-market loss on credit default swaps related to European prime mortgage risks due to widening credit spreads. PMI Asia reported net income of $2.9 million fueled by strong growth in reinsurance premiums written compared to the fourth quarter 2006. |
1 | Due to the net loss in the fourth quarter 2007, normally dilutive components of shares outstanding such as stock options were not included in fully diluted shares outstanding as their inclusion would have been anti-dilutive. |
2 | “U.S. Mortgage Insurance Operations” includes the results of PMI Mortgage Insurance Co. (PMI), affiliated U.S. reinsurance companies and equity in earnings from CMG Mortgage Insurance Company (CMG MI). |
3 | “International Operations” includes the results of PMI Australia, PMI Europe, PMI Asia and PMI Canada. |
| ¡ | | Financial Guaranty4 — equity in losses from FGIC for the fourth quarter of 2007 were $776.1 million (after tax), as a result of higher Losses and LAE and an unrealized mark-to-market loss related to its credit derivative portfolio. During the fourth quarter, the Company recorded an other than temporary impairment of its investment in Ram Re of $38.5 million (pre-tax). |
Consolidated Operating Results
Consolidated net premiums written for the fourth quarter and full year totaled $263.5 million and $1.0 billion, respectively, compared with $235.5 million and $861.6 million for the same periods one year ago. The year over year increase was primarily due to increases in new insurance written in the U.S. Mortgage Insurance Operations and an increase in International Operations’ net premiums written combined with favorable Australian foreign exchange rates.
Consolidated premiums earned for the fourth quarter and full year were $259.6 million and $995.2 million, respectively, compared with $225.7 million and $860.5 million for the same periods one year ago. The increases were due primarily to new insurance written, improved persistency and larger loan sizes in the U.S. Mortgage Insurance Operations.
Consolidated losses and LAE for the fourth quarter and full year were $574.7 million and $1.2 billion, respectively, compared with $90.5 million and $302.9 million for the same periods last year. The increases were primarily a result of higher Losses and LAE in our U.S. Mortgage Insurance Operations as a result of the significant deterioration of the U.S. housing, mortgage and capital markets.
Consolidated reserve for losses and LAE totaled $1.2 billion as of December 31, 2007 compared with $770.4 million as of September 30, 2007 and $414.7 million as of December 31, 2006. Reserves for losses and LAE in the U.S. Mortgage Insurance Operations increased $434.8 million in the fourth quarter of 2007 primarily due to an increase in notices of default, increased claim rates and larger claim sizes. PMI Australia’s reserve for losses and LAE increased $13.8 million in the fourth quarter of 2007 principally due to higher claim rates and claim sizes.
Consolidated other underwriting and operating expensesfor the fourth quarter and full year were $56.7 million and $229.8 million, respectively, compared with $68.0 million and $237.0 million for the same periods one year ago.
4 | “Financial Guaranty” includes PMI Guaranty Co. (PMI Guaranty) and our equity investments in Financial Guaranty Insurance Company, Inc. (FGIC) and Ram Reinsurance Company Ltd. (RAM Re). |
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The PMI Group, Inc. Fourth Quarter Results by Segment | |
| | Fourth Quarter Total Revenues | | | Fourth Quarter Net (Loss) Income | |
(Dollars in millions, except per share data) | | 2007 | | | 2006 | | | 2007 | | | 2006 | |
U.S. Mortgage Insurance Operations | | $ | 231.9 | | | $ | 212.2 | | | $ | (236.0 | ) | | $ | 77.2 | |
International Operations | | | 68.0 | | | | 61.5 | | | | (10.1 | ) | | | 20.0 | |
Financial Guaranty6 | | | (35.8 | ) | | | 2.0 | | | | (766.2 | ) | | | 28.4 | |
Corporate and Other5 | | | 17.4 | | | | 6.2 | | | | (2.1 | ) | | | (25.1 | ) |
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Consolidated Total | | $ | 281.5 | | | $ | 281.9 | | | $ | (1,014.9 | ) | | $ | 100.5 | |
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Diluted Net (Loss) Income Per Share1 | | | | | | | | | | $ | (12.51 | ) | | $ | 1.19 | |
Book Value Per Share | | | | | | | | | | $ | 30.98 | | | $ | 41.14 | |
May not total due to rounding.
n.m. – Not meaningful.
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The PMI Group, Inc. Full Year Results by Segment | |
| | Full Year Ended December 31 Total Revenues | | | Full Year Ended December 31 Net (Loss) Income | |
(Dollars in millions, except per share data) | | 2007 | | | 2006 | | | 2007 | | | 2006 | |
U.S. Mortgage Insurance Operations | | $ | 916.0 | | | $ | 797.6 | | | $ | (190.8 | ) | | $ | 290.3 | |
International Operations | | | 265.0 | | | | 248.6 | | | | 55.0 | | | | 103.5 | |
Financial Guaranty | | | (28.0 | ) | | | 2.0 | | | | (731.7 | ) | | | 97.3 | |
Corporate and Other2 | | | 32.2 | | | | 30.5 | | | | (47.8 | ) | | | (71.4 | ) |
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Consolidated Total | | $ | 1,185.2 | | | $ | 1,078.7 | | | $ | (915.3 | ) | | $ | 419.7 | |
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Diluted Net (Loss) Income Per Share | | | | | | | | | | $ | (10.81 | ) | | $ | 4.57 | |
May not total due to rounding.
n.m. – Not meaningful.
Segment Highlights
U.S. Mortgage Insurance Operations
| • | | The net loss totaled $236.0 million for the fourth quarter of 2007 compared with net income of $77.2 million in the fourth quarter of 2006. The net loss in the fourth quarter was due primarily to higher Losses and LAE and an impairment of the deferred policy acquisition asset, partially offset by higher premiums earned and lower other underwriting and operating expenses. |
| • | | Net premiums written in the fourth quarter of 2007 increased by 14.0% to $200.3 million from $175.7 million in the fourth quarter of 2006. The increase was due primarily to increases in insurance in force driven by new insurance written and higher persistency. |
| • | | The primary persistency rate increased to 75.5% in the fourth quarter of 2007 compared with 69.6% in the fourth quarter of 2006. |
| • | | Losses and LAE in the fourth quarter of 2007 were $520.6 million compared with $72.0 million in the fourth quarter of 2006 driven by an increase in notices of default, increased claim rates and larger claim sizes. |
| • | | Total claims paid increased to $114.5 million for the fourth quarter of 2007 compared with $61.4 million in the fourth quarter of 2006 driven by an increase in the claim rates and larger average claim sizes. |
| • | | After tax equity in earnings from CMG MI for the fourth quarter of 2007 was $2.3 million, compared with $3.3 million for the same period of 2006. The decline in equity in earnings was primarily driven by higher |
5 | The “Corporate and Other” segment primarily consists of the holding company, contract underwriting operations and intercompany eliminations. |
| Losses and LAE partially offset by higher premiums earned. CMG MI’s insurance in force grew to $18.9 billion, persistency increased to 81.6% and the primary default rate was 1.42%. |
International Operations
| • | | PMI Australia reported net income of $17.8 million for the fourth quarter of 2007 compared with net income of $13.8 million for the fourth quarter of 2006. The increase in net income was due primarily to increased premiums earned and net investment income partially offset by higher Losses and LAE. The fourth quarter of 2007 addition to reserves for losses and LAE was $13.8 million bringing the total reserves for losses and LAE to $65.1 million. Claims paid for the fourth quarter totaled $14.9 million. |
| • | | PMI Europe reported a net loss of $29.6 million in the fourth quarter of 2007 compared with net income of $3.5 million for the same period a year ago. The decrease was due primarily to higher Losses and LAE and, to a lesser extent, an unrealized $8.4 million (pre-tax) negative mark-to-market adjustment on credit default swaps related to European prime mortgage risks due to widening credit spreads. |
| • | | PMI Asia’s net income in the fourth quarter of 2007 totaled $2.9 million compared with $2.7 million for the same period a year ago. |
Financial Guaranty
| • | | After tax equity in losses from FGIC for the fourth quarter of 2007 totaled $776.1 million compared with after tax equity in earnings of $25.9 million for the same period a year ago. The loss in the fourth quarter of 2007 was primarily due to Losses and LAE from its structured finance portfolio and an unrealized mark-to-market loss related to its credit derivative portfolio due to widening credit spreads. Following equity in losses from FGIC in the third and fourth quarters, the Company’s carrying value of its investment as of December 31, 2007 was $103.6 million. |
| • | | After tax equity in losses from RAM Re for the fourth quarter of 2007 was $2.3 million compared with after tax equity in earnings of $1.9 million for the same period one year ago. As RAM Re reports on a one quarter lag, PMI’s share of their third quarter 2007 loss is accounted for in the fourth quarter. The Company also recorded a partial impairment of $38.5 million (pre-tax) of its investment in RAM Re. After impairment, the carrying value of our investment in RAM Re as of December 31, 2007 was $60.0 million. |
| • | | A valuation allowance of approximately $168.1 million was established against a $214.3 million deferred tax asset associated with our investment in FGIC and RAM Re. The deferred tax asset is created upon the recognition of losses from FGIC and RAM Re in excess of our tax basis with respect to our investment in those companies. The Company did not record a full valuation against the deferred tax asset, as it is management’s expectation that some portion of the tax benefit will be realized. The deferred tax benefit of $46.2 million is not included in the after tax equity in losses discussed above. |
| • | | PMI Guaranty, which began operations in the fourth quarter of 2006, reported a net loss of $0.8 million in the fourth quarter of 2007. |
Corporate and Other
| • | | The Corporate and Other segment reported a net loss of $2.1 million for the fourth quarter of 2007 compared with a net loss of $25.1 million for the same period a year ago. The decrease in the net loss for the fourth quarter of 2007 compared with the fourth quarter of 2006 was due to higher net realized investment gains, a reversal of an impairment charge related to the sale of our investment in SPS and lower other underwriting and operating expenses and interest expense. |
Supplemental Financial Information
| • | | The PMI Group, Inc.’s Fourth Quarter 2007 Financial Supplement can be found atwww.pmigroup.com under Investor Relations. |
ABOUT THE PMI GROUP, INC.
The PMI Group, Inc. (NYSE: PMI), headquartered in Walnut Creek, CA, is an international provider of credit enhancement products that promote homeownership and facilitate mortgage transactions in the capital markets. Through its wholly owned subsidiaries and unconsolidated strategic investments, the company offers residential mortgage insurance and credit enhancement products domestically and internationally, financial guaranty insurance, and financial guaranty reinsurance. Through its subsidiaries, The PMI Group, Inc. is one of the world’s largest providers of private mortgage insurance with operations in the United States, Australia and New Zealand, Canada and the European Union, as well as one of the largest providers of mortgage guaranty reinsurance in Hong Kong. For more information:www.pmigroup.com.
Cautionary Statement: Statements in this earnings release that are not historical facts, and that relate to future plans, events or performance are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Readers are cautioned that forward-looking statements by their nature involve risk and uncertainty because they relate to events and depend on circumstances that will occur in the future. Many factors could cause actual results and developments to differ materially from those expressed or implied by these forward-looking statements. Risks and uncertainties that could affect the Company are discussed in our Form 10-K for the year ended December 31, 2007 and include changes in economic conditions such as interest rates, home values, employment rates and refinance activity. We undertake no obligation to update forward-looking statements.
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THE PMI GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
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| | Three Months Ended December 31, | | | Year Ended December 31, |
| | 2007 | | | 2006 | | | 2007 | | | 2006 |
| | (Unaudited) | | | (Audited) |
| | (Dollars in thousands, except per share data) |
Net premiums written | | $ | 263,485 | | | $ | 235,468 | | | $ | 1,040,236 | | | $ | 861,614 |
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Revenues | | | | | | | | | | | | | | | |
Premiums earned | | $ | 259,640 | | | $ | 225,743 | | | $ | 995,172 | | | $ | 860,530 |
Net (loss) income from credit default swaps | | | (9,483 | ) | | | 2,687 | | | | (14,447 | ) | | | 7,431 |
Net investment income | | | 54,836 | | | | 49,740 | | | | 214,002 | | | | 195,301 |
Net realized investment (losses) gains | | | (1,341 | ) | | | 1,135 | | | | 1,045 | | | | 2,756 |
Impairment of unconsolidated subsidiary | | | (38,499 | ) | | | — | | | | (38,499 | ) | | | — |
Settlement gain on unconsolidated subsidiary | | | 12,670 | | | | — | | | | 12,670 | | | | — |
Other income | | | 3,660 | | | | 2,610 | | | | 15,221 | | | | 12,710 |
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Total revenues | | | 281,483 | | | | 281,915 | | | | 1,185,164 | | | | 1,078,728 |
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Losses and expenses | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 574,680 | | | | 90,532 | | | | 1,203,004 | | | | 302,936 |
Amortization of deferred policy acquisition costs | | | 53,408 | | | | 16,293 | | | | 104,885 | | | | 68,358 |
Other underwriting and operating expenses | | | 56,734 | | | | 67,981 | | | | 229,793 | | | | 236,973 |
Interest expense | | | 8,383 | | | | 12,323 | | | | 33,398 | | | | 38,055 |
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Total losses and expenses | | | 693,205 | | | | 187,129 | | | | 1,571,080 | | | | 646,322 |
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(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | | | (411,722 | ) | | | 94,786 | | | | (385,916 | ) | | | 432,406 |
Equity in (losses) earnings from unconsolidated subsidiaries | | | (791,155 | ) | | | 35,906 | | | | (741,500 | ) | | | 127,309 |
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(Loss) income before income taxes | | | (1,202,877 | ) | | | 130,692 | | | | (1,127,416 | ) | | | 559,715 |
Income tax (benefit) expense | | | (188,458 | ) | | | 30,242 | | | | (212,090 | ) | | | 140,064 |
Net (loss) income | | $ | (1,014,419 | ) | | $ | 100,450 | | | $ | (915,326 | ) | | $ | 419,651 |
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Diluted net (loss) income per share | | $ | (12.51 | ) | | $ | 1.19 | | | $ | (10.81 | ) | | $ | 4.57 |
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THE PMI GROUP, INC. AND SUBSIDIARIES |
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CONSOLIDATED BALANCE SHEETS |
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| | December 31, 2007 | | | | | | December 31, 2006 | | | |
| | (Audited) | | | | | | (Audited) | | | |
| | (Dollars in thousands, except per share data) | | | |
Assets | | | | | | | | | | | | | | | |
Investments | | $ | 3,729,151 | | | | | | | $ | 3,244,058 | | | | |
Cash and cash equivalents | | | 427,912 | | | | | | | | 506,082 | | | | |
Investments in unconsolidated subsidiaries | | | 309,800 | | | | | | | | 1,100,387 | | | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 161,762 | | | | | | | | 174,128 | | | | |
Other assets | | | 441,815 | | | | | | | | 292,900 | | | | |
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Total assets | | $ | 5,070,440 | | | | | | | $ | 5,317,555 | | | | |
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Liabilities | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 1,242,599 | | | | | | | $ | 414,736 | | | | |
Unearned premiums | | | 611,247 | | | | | | | | 520,264 | | | | |
Debt | | | 496,593 | | | | | | | | 496,593 | | | | |
Other liabilities | | | 207,039 | | | | | | | | 317,372 | | | | |
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Total liabilities | | | 2,557,478 | | | | | | | | 1,748,965 | | | | |
Shareholders’ equity | | | 2,512,962 | | | | | | | | 3,568,590 | | | | |
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Total liabilities and shareholders’ equity | | $ | 5,070,440 | | | | | | | $ | 5,317,555 | | | | |
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Basic shares issued and outstanding | | | 81,120 | | | | | | | | 86,747 | | | | |
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Book value per share | | $ | 30.98 | | | | | | | $ | 41.14 | | | | |
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Note: Please refer toThe PMI Group, Inc. Fourth Quarter 2007 Financial Supplement for additional information.
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THE PMI GROUP, INC. AND SUBSIDIARIES FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED DECEMBER 31, 2007 |
Table of Contents | | Page |
Notes to Financial Results and Statistical Information | | 3 |
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Consolidated Results | | |
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Consolidated Statements of Operations | | 4 |
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Consolidated Balance Sheets | | 5 |
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Business Segments Results of Operations - Three Months Ended December 31, 2007 and 2006 | | 6 |
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Business Segments Results of Operations - Years Ended December 31, 2007 and 2006 | | 7 |
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Business Segments Balance Sheets | | 8 |
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U.S. Mortgage Insurance Operations Segment Results | | |
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U.S. Mortgage Insurance Operations Segment Results of Operations and Balance Sheets | | 9 |
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U.S. Mortgage Insurance Operations Portfolio Characteristics | | 10-12 |
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U.S. Mortgage Insurance Operations Default Information and Analysis of Loss Reserves | | 13 |
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CMG Mortgage Insurance Company Statistical Information | | 14 |
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International Mortgage Insurance Operations Segment Results | | |
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International Operations Segment Results of Operations and Balance Sheets | | 15 |
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PMI Australia Quarterly Financial Information | | 16 |
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PMI Australia Statistical Information | | 17 |
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PMI Europe Quarterly Financial Information | | 18 |
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PMI Asia Quarterly Financial Information | | 19 |
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PMI Europe and PMI Asia Statistical Information | | 20 |
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Financial Guaranty Segment Results | | |
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Financial Guaranty Segment Results of Operation and Balance Sheets | | 21 |
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Corporate and Other Segment Results | | |
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Corporate and Other Segment Results of Operations and Balance Sheets | | 22 |
Page 2
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THE PMI GROUP, INC. AND SUBSIDIARIES FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED DECEMBER 31, 2007 Notes to Financial Results and Statistical Information: |
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(1) | | U.S. Mortgage Insurance Operations include the operating results of PMI Mortgage Insurance Co. and affiliated U.S. mortgage insurance and reinsurance companies (collectively, “PMI”). CMG Mortgage Insurance Company and its affiliates are included under the equity method of accounting in equity in earnings from unconsolidated subsidiaries. |
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(2) | | International Operations include PMI Australia, PMI Europe, PMI Asia and PMI Canada. PMI Canada began offering residential mortgage insurance products to Canadian lenders and mortgage originators in the second quarter of 2007. |
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(3) | | Financial Guaranty represents PMI Guaranty Co. (“PMI Guaranty”) and our equity investments in FGIC Corporation and RAM Reinsurance Company, Ltd. (“RAM Re”). |
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(4) | | The Corporate and Other segment includes other income and related operating expenses of PMI Mortgage Services Co.; investment income, interest expense, intercompany eliminations and corporate expenses of The PMI Group, Inc. (the “Company”); the results of Commercial Loan Insurance Corporation, WMAC Credit Insurance Corporation and equity in earnings from certain limited partnerships. |
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(5) | | For the quarter and year ended December 31, 2007, the Company’s equity in earnings (losses) from unconsolidated subsidiaries include FGIC Corporation, CMG Mortgage Insurance Company, CMG Mortgage Reinsurance Company and CMG Mortgage Assurance Company (collectively, “CMG MI”), RAM Re, and certain limited partnership interests. |
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(6) | | Other underwriting and operating expenses from the Corporate and Other segment include charges of $2.6 million and $16.1 million (pre-tax) or $1.7 million and $11.5 million (after tax) for stock option expenses and related share-based compensation expenses in the fourth quarter and year ended December 31, 2007, respectively, compared to $2.3 million and $12.2 million (pre-tax) or $1.8 million and $9.4 million (after tax) for the corresponding periods in 2006. |
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(7) | | The expense ratio is expressed as a ratio, of the sum of amortization of deferred policy acquisition costs and other underwriting and operating expenses to net premiums written. The loss ratio is expressed as a ratio of losses and loss adjustment expenses (“LAE”) to premiums earned. |
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(8) | | Pool insurance includes modified pool, GSE pool, old pool and all other pool insurance products for U.S. Mortgage Insurance Operations. |
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(9) | | The statutory risk-to-capital ratio is for PMI Mortgage Insurance Co. only. |
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(10) | | During the fourth quarter of 2007, the Company did not repurchase any common shares. The total shares repurchased in 2007 include the final delivery of 436,152 shares under the $345 million accelerated share repurchase program. |
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(11) | | Interest expense in our Financial Guaranty segment relates to a $50 million surplus note provided to PMI Guaranty by the Company. The surplus note bears interest at an annual rate of 5.85% and is due October 20, 2026. The surplus note and the interest expense are eliminated in the Corporate and Other segment. |
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(12) | | For the first half of 2006, PMI Asia’s income statements represent the results of PMI’s Hong Kong Branch. |
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(13) | | As of data, such as insurance in force, risk in force, policy in force and loans in default, are the same as recent period end in the total column. |
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(14) | | Due to the net loss in this quarter and year, normally dilutive components of shares outstanding such as stock options were not included in fully diluted shares outstanding as their inclusion would have been anti-dilutive. |
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(15) | | The Company realized an other-than-temporary impairment of $38.5 million due to continuing deterioration of the credit market and declines in RAM Re’s share price. |
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(16) | | On October 4, 2005, the Company sold to Credit Suisse First Boston (USA), Inc. its equity ownership interest in SPS Holding Corp. (“SPS”). The Company has received cash payments of $5.4 million during 2007 from the residual interest in SPS mortgage servicing assets. Based on the settlement agreement dated January 25, 2008, the Company recorded a $12.7 million of settlement gain. |
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(17) | | Claim severity is, for a given period, claims paid as a percentage of the total risk in force of loans for which claims were paid. |
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(18) | | PMI’s persistency rate was calculated based upon the percentage of primary insurance in force at the beginning of a 12-month period that remains in force at the end of that period. |
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Note: | | The interim financial and statistical information contained in this material is unaudited. Certain prior periods’ information has been reclassified to conform to the current periods’ presentation. |
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The PMI Group, Inc.’s Investor Relations contacts: |
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Bill Horning | | Kosta Karmaniolas |
(925) 658-6193 | | (925) 658-6137 |
Page 3
THE PMI GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
| | | | | | | | | | | | | | | |
| | Three Months Ended December 31, | | | Year Ended December 31, |
| | 2007 | | | 2006 | | | 2007 | | | 2006 |
| | (Unaudited) | | | (Audited) |
| | (Dollars and shares, except per share data, in thousands) |
Net premiums written | | $ | 263,485 | | | $ | 235,468 | | | $ | 1,040,236 | | | $ | 861,614 |
| | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | |
Premiums earned | | $ | 259,640 | | | $ | 225,743 | | | $ | 995,172 | | | $ | 860,530 |
Net (loss) income from credit default swaps | | | (9,483 | ) | | | 2,687 | | | | (14,447 | ) | | | 7,431 |
Net investment income | | | 54,836 | | | | 49,740 | | | | 214,002 | | | | 195,301 |
Net realized investment (losses) gains | | | (1,341 | ) | | | 1,135 | | | | 1,045 | | | | 2,756 |
Impairment of unconsolidated subsidiary(15) | | | (38,499 | ) | | | — | | | | (38,499 | ) | | | — |
Settlement gain on sale of unconsolidated subsidiary(16) | | | 12,670 | | | | — | | | | 12,670 | | | | — |
Other income | | | 3,660 | | | | 2,610 | | | | 15,221 | | | | 12,710 |
| | | | | | | | | | | | | | | |
Total revenues | | | 281,483 | | | | 281,915 | | | | 1,185,164 | | | | 1,078,728 |
| | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 574,680 | | | | 90,532 | | | | 1,203,004 | | | | 302,936 |
Amortization of deferred policy acquisition costs | | | 53,408 | | | | 16,293 | | | | 104,885 | | | | 68,358 |
Other underwriting and operating expenses(6) | | | 56,734 | | | | 67,981 | | | | 229,793 | | | | 236,973 |
Interest expense | | | 8,383 | | | | 12,323 | | | | 33,398 | | | | 38,055 |
| | | | | | | | | | | | | | | |
Total losses and expenses | | | 693,205 | | | | 187,129 | | | | 1,571,080 | | | | 646,322 |
| | | | | | | | | | | | | | | |
(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | | | (411,722 | ) | | | 94,786 | | | | (385,916 | ) | | | 432,406 |
Equity in (losses) earnings from unconsolidated subsidiaries(5) | | | (791,155 | ) | | | 35,906 | | | | (741,500 | ) | | | 127,309 |
| | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (1,202,877 | ) | | | 130,692 | | | | (1,127,416 | ) | | | 559,715 |
Income tax (benefit) expense | | | (188,458 | ) | | | 30,242 | | | | (212,090 | ) | | | 140,064 |
| | | | | | | | | | | | | | | |
Net (loss) income | | $ | (1,014,419 | ) | | $ | 100,450 | | | $ | (915,326 | ) | | $ | 419,651 |
| | | | | | | | | | | | | | | |
Diluted net (loss) income per share | | $ | (12.51 | ) | | $ | 1.19 | | | $ | (10.81 | ) | | $ | 4.57 |
| | | | | | | | | | | | | | | |
Reconciliation of (losses) earnings per share | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (1,014,419 | ) | | $ | 100,450 | | | $ | (915,326 | ) | | $ | 419,651 |
Plus: Interest expense on contingently convertible debt, net of income taxes | | | — | | | | 24 | | | | — | | | | 4,752 |
| | | | | | | | | | | | | | | |
Net (loss) income adjusted for diluted earnings per share calculation | | $ | (1,014,419 | ) | | $ | 100,474 | | | $ | (915,326 | ) | | $ | 424,403 |
| | | | | | | | | | | | | | | |
Share data: | | | | | | | | | | | | | | | |
Basic weighted average common shares outstanding | | | 81,120 | | | | 83,275 | | | | 84,645 | | | | 86,478 |
Stock options and other dilutive components(14) | | | — | | | | 1,140 | | | | — | | | | 1,192 |
Common stock equivalent shares related to contingently convertible debt (14) | | | — | | | | 122 | | | | — | | | | 5,196 |
| | | | | | | | | | | | | | | |
Diluted weighted average common shares outstanding(14) | | | 81,120 | | | | 84,537 | | | | 84,645 | | | | 92,866 |
| | | | | | | | | | | | | | | |
Share repurchase data: | | | | | | | | | | | | | | | |
Common shares repurchased (10) | | | — | | | | 907 | | | | 6,684 | * | | | 11,397 |
| | | | | | | | | | | | | | | |
Average price paid per common share repurchased (including commissions) | | $ | — | | | $ | 44.11 | | | $ | 34.41 | * | | | * |
| | | | | | | | | | | | | | | |
* | In May 2007, upon completion of the $345 million accelerated share repurchase program, The Company received the final delivery of 436,152 common shares bringing the total received under the program to 7,624,700 shares. The average price paid per common share upon completion of this program was $45.25 per common share. |
| | | | | | |
THE PMI GROUP, INC. AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS |
| | December 31, | | December 31, |
| | 2007 | | 2006 |
| | (Audited) | | (Audited) |
| | (Dollars and shares, except per share data in thousands) |
Assets | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | |
Fixed income securities | | $ | 3,266,693 | | $ | 2,826,853 |
Equity securities: | | | | | | |
Common | | | 159,936 | | | 162,263 |
Preferred | | | 299,630 | | | 248,761 |
Short term investments | | | 2,892 | | | 6,181 |
| | | | | | |
Total investments | | $ | 3,729,151 | | $ | 3,244,058 |
Cash and cash equivalents | | | 427,912 | | | 506,082 |
Investments in unconsolidated subsidiaries(5) | | | 309,800 | | | 1,100,387 |
Property, equipment and software, net of accumulated depreciation and amortization | | | 161,762 | | | 174,128 |
Other assets | | | 441,815 | | | 292,900 |
| | | | | | |
Total assets | | $ | 5,070,440 | | $ | 5,317,555 |
| | | | | | |
Liabilities | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 1,242,599 | | $ | 414,736 |
Unearned premiums | | | 611,247 | | | 520,264 |
Debt | | | 496,593 | | | 496,593 |
Other liabilities | | | 207,039 | | | 317,372 |
| | | | | | |
Total liabilities | | | 2,557,478 | | | 1,748,965 |
Shareholders’ equity | | | | | | |
Common stock | | | 1,193 | | | 1,193 |
Additional paid-in capital, treasury stock and retained earnings | | | 2,196,692 | | | 3,303,317 |
Accumulated other comprehensive income, net of deferred taxes | | | 315,077 | | | 264,080 |
| | | | | | |
Total shareholders’ equity | | | 2,512,962 | | | 3,568,590 |
| | | | | | |
Total liabilities and shareholders’ equity | | $ | 5,070,440 | | $ | 5,317,555 |
| | | | | | |
Basic shares issued and outstanding | | | 81,120 | | | 86,747 |
| | | | | | |
Book value per share | | $ | 30.98 | | $ | 41.14 |
| | | | | | |
Page 5
THE PMI GROUP, INC. AND SUBSIDIARIES
BUSINESS SEGMENTS RESULTS OF OPERATIONS - THREE MONTHS ENDED DECEMBER 31, 2007 AND 2006
| | | | | | | | | | | | | | | | | | | | |
| | U.S. Mortgage Insurance Operations(1) | | | International Operations (2) | | | Financial Guaranty (3) | | | Corporate and Other (4) | | | Consolidated Total | |
| | Three Months Ended December 31, 2007 (Unaudited) | |
| | (Dollars in thousands) | |
Net premiums written | | $ | 200,253 | | | $ | 62,817 | | | $ | 396 | | | $ | 19 | | | $ | 263,485 | |
| | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 206,254 | | | $ | 52,940 | | | $ | 436 | | | $ | 10 | | | $ | 259,640 | |
Net loss from credit default swaps | | | — | | | | (9,483 | ) | | | — | | | | — | | | | (9,483 | ) |
Net investment income | | | 27,281 | | | | 23,905 | | | | 2,250 | | | | 1,400 | | | | 54,836 | |
Net realized investment (losses) gains | | | (1,526 | ) | | | 183 | | | | 3 | | | | (1 | ) | | | (1,341 | ) |
Impairment of unconsolidated subsidiary(15) | | | — | | | | — | | | | (38,499 | ) | | | — | | | | (38,499 | ) |
Settlement gain on sale of unconsolidated subsidiary(16) | | | — | | | | — | | | | — | | | | 12,670 | | | | 12,670 | |
Other (loss) income | | | (86 | ) | | | 476 | | | | — | | | | 3,270 | | | | 3,660 | |
| | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 231,923 | | | | 68,021 | | | | (35,810 | ) | | | 17,349 | | | | 281,483 | |
| | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 520,611 | | | | 51,420 | | | | 2,649 | | | | — | | | | 574,680 | |
Amortization of deferred policy acquisition costs | | | 46,213 | | | | 6,882 | | | | 313 | | | | — | | | | 53,408 | |
Other underwriting and operating expenses(6) | | | 22,717 | | | | 14,505 | | | | 1,112 | | | | 18,400 | | | | 56,734 | |
Interest expense(11) | | | 33 | | | | — | | | | 731 | | | | 7,619 | | | | 8,383 | |
| | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 589,574 | | | | 72,807 | | | | 4,805 | | | | 26,019 | | | | 693,205 | |
| | | | | | | | | | | | | | | | | | | | |
(Loss) income before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | | | (357,651 | ) | | | (4,786 | ) | | | (40,615 | ) | | | (8,670 | ) | | | (411,722 | ) |
Equity in earnings (losses) from unconsolidated subsidiaries (5) | | | 3,474 | | | | — | | | | (794,637 | ) | | | 8 | | | | (791,155 | ) |
| | | | | | | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (354,177 | ) | | | (4,786 | ) | | | (835,252 | ) | | | (8,662 | ) | | | (1,202,877 | ) |
Income tax (benefit) expense | | | (118,160 | ) | | | 5,326 | | | | (69,096 | ) | | | (6,528 | ) | | | (188,458 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (236,017 | ) | | $ | (10,112 | ) | | $ | (766,156 | ) | | $ | (2,134 | ) | | $ | (1,014,419 | ) |
| | | | | | | | | | | | | | | | | | | | |
Loss ratio(7) | | | 252.4 | % | | | 97.1 | % | | | | | | | | | | | | |
Expense ratio(7) | | | 34.4 | % | | | 34.0 | % | | | | | | | | | | | | |
Combined ratio | | | 286.8 | % | | | 131.1 | % | | | | | | | | | | | | |
| |
| | Three Months Ended December 31, 2006 (Unaudited) | |
| | (Dollars in thousands) | |
Net premiums written | | $ | 175,730 | | | $ | 58,129 | | | $ | 1,590 | | | $ | 19 | | | $ | 235,468 | |
| | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 184,511 | | | $ | 41,219 | | | $ | 1 | | | $ | 12 | | | $ | 225,743 | |
Income from credit default swaps | | | — | | | | 2,687 | | | | — | | | | — | | | | 2,687 | |
Net investment income | | | 26,071 | | | | 17,990 | | | | 2,036 | | | | 3,643 | | | | 49,740 | |
Net realized investment gains (losses) | | | 1,627 | | | | (244 | ) | | | — | | | | (248 | ) | | | 1,135 | |
Other (loss) income | | | (30 | ) | | | (189 | ) | | | — | | | | 2,829 | | | | 2,610 | |
| | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 212,179 | | | | 61,463 | | | | 2,037 | | | | 6,236 | | | | 281,915 | |
| | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 72,039 | | | | 18,492 | | | | — | | | | 1 | | | | 90,532 | |
Amortization of deferred policy acquisition costs | | | 12,544 | | | | 3,748 | | | | 1 | | | | — | | | | 16,293 | |
Other underwriting and operating expenses(6) | | | 27,116 | | | | 11,064 | | | | 716 | | | | 29,085 | | | | 67,981 | |
Interest expense | | | — | | | | 1 | | | | 569 | | | | 11,753 | | | | 12,323 | |
| | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 111,699 | | | | 33,305 | | | | 1,286 | | | | 40,839 | | | | 187,129 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | | | 100,480 | | | | 28,158 | | | | 751 | | | | (34,603 | ) | | | 94,786 | |
Equity in earnings (losses) from unconsolidated subsidiaries(5) | | | 5,077 | | | | — | | | | 30,953 | | | | (124 | ) | | | 35,906 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) before income taxes | | | 105,557 | | | | 28,158 | | | | 31,704 | | | | (34,727 | ) | | | 130,692 | |
Income tax expense (benefit) | | | 28,349 | | | | 8,193 | | | | 3,281 | | | | (9,581 | ) | | | 30,242 | |
| | | | | | | | | | | | | | | | | | | | |
Net income (loss) | | $ | 77,208 | | | $ | 19,965 | | | $ | 28,423 | | | $ | (25,146 | ) | | $ | 100,450 | |
| | | | | | | | | | | | | | | | | | | | |
Loss ratio(7) | | | 39.0 | % | | | 44.9 | % | | | | | | | | | | | | |
Expense ratio(7) | | | 22.6 | % | | | 25.5 | % | | | | | | | | | | | | |
Combined ratio | | | 61.6 | % | | | 70.4 | % | | | | | | | | | | | | |
Page 6
THE PMI GROUP, INC. AND SUBSIDIARIES
BUSINESS SEGMENTS RESULTS OF OPERATIONS - YEAR ENDED DECEMBER 31, 2007 AND 2006
| | | | | | | | | | | | | | | | | | | | |
| | U.S. Mortgage Insurance Operations (1) | | | International Operations (2) | | | Financial Guaranty (3) | | | Corporate and Other (4) | | | Consolidated Total | |
| | Year Ended December 31, 2007 (Audited) | |
| | (Dollars in thousands) | |
Net premiums written | | $ | 799,747 | | | $ | 233,684 | | | $ | 6,753 | | | $ | 52 | | | $ | 1,040,236 | |
| | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 800,937 | | | $ | 192,545 | | | $ | 1,633 | | | $ | 57 | | | $ | 995,172 | |
Net loss from credit default swaps | | | — | | | | (14,447 | ) | | | — | | | | — | | | | (14,447 | ) |
Net investment income | | | 110,355 | | | | 86,016 | | | | 9,206 | | | | 8,425 | | | | 214,002 | |
Net realized investment gains (losses) | | | 4,587 | | | | 42 | | | | (351 | ) | | | (3,233 | ) | | | 1,045 | |
Impairment of unconsolidated subsidiary (15) | | | — | | | | — | | | | (38,499 | ) | | | — | | | | (38,499 | ) |
Settlement gain on sale of unconsolidated subsidiary(16) | | | — | | | | — | | | | — | | | | 12,670 | | | | 12,670 | |
Other income | | | 85 | | | | 828 | | | | — | | | | 14,308 | | | | 15,221 | |
| | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 915,964 | | | | 264,984 | | | | (28,011 | ) | | | 32,227 | | | | 1,185,164 | |
| | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 1,096,093 | | | | 104,262 | | | | 2,649 | | | | — | | | | 1,203,004 | |
Amortization of deferred policy acquisition costs | | | 84,214 | | | | 19,713 | | | | 958 | | | | — | | | | 104,885 | |
Other underwriting and operating expenses(6) | | | 95,557 | | | | 52,475 | | | | 2,505 | | | | 79,256 | | | | 229,793 | |
Interest expense(11) | | | 108 | | | | 6 | | | | 2,925 | | | | 30,359 | | | | 33,398 | |
| | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 1,275,972 | | | | 176,456 | | | | 9,037 | | | | 109,615 | | | | 1,571,080 | |
| | | | | | | | | | | | | | | | | | | | |
(Loss) income before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | | | (360,008 | ) | | | 88,528 | | | | (37,048 | ) | | | (77,388 | ) | | | (385,916 | ) |
Equity in earnings (losses) from unconsolidated subsidiaries(5) | | | 17,119 | | | | — | | | | (758,833 | ) | | | 214 | | | | (741,500 | ) |
| | | | | | | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (342,889 | ) | | | 88,528 | | | | (795,881 | ) | | | (77,174 | ) | | | (1,127,416 | ) |
Income tax (benefit) expense | | | (152,073 | ) | | | 33,538 | | | | (64,211 | ) | | | (29,344 | ) | | | (212,090 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (190,816 | ) | | $ | 54,990 | | | $ | (731,670 | ) | | $ | (47,830 | ) | | $ | (915,326 | ) |
| | | | | | | | | | | | | | | | | | | | |
Loss ratio(7) | | | 136.9 | % | | | 54.1 | % | | | | | | | | | | | | |
Expense ratio(7) | | | 22.5 | % | | | 30.9 | % | | | | | | | | | | | | |
Combined ratio | | | 159.4 | % | | | 85.0 | % | | | | | | | | | | | | |
| |
| | Year Ended December 31, 2006 (Audited) | |
| | (Dollars in thousands) | |
Net premiums written | | $ | 658,576 | | | $ | 201,392 | | | $ | 1,590 | | | $ | 56 | | | $ | 861,614 | |
| | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 687,993 | | | $ | 172,471 | | | $ | 1 | | | $ | 65 | | | $ | 860,530 | |
Income from credit default swaps | | | — | | | | 7,431 | | | | — | | | | — | | | | 7,431 | |
Net investment income | | | 105,893 | | | | 65,842 | | | | 2,037 | | | | 21,529 | | | | 195,301 | |
Net realized investment gains (losses) | | | 3,789 | | | | 3,602 | | | | — | | | | (4,635 | ) | | | 2,756 | |
Other (loss) income | | | (69 | ) | | | (747 | ) | | | — | | | | 13,526 | | | | 12,710 | |
| | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 797,606 | | | | 248,599 | | | | 2,038 | | | | 30,485 | | | | 1,078,728 | |
| | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 263,037 | | | | 39,901 | | | | — | | | | (2 | ) | | | 302,936 | |
Amortization of deferred policy acquisition costs | | | 51,979 | | | | 16,378 | | | | 1 | | | | — | | | | 68,358 | |
Other underwriting and operating expenses(6) | | | 100,569 | | | | 41,935 | | | | 716 | | | | 93,753 | | | | 236,973 | |
Interest expense | | | 2 | | | | 125 | | | | 569 | | | | 37,359 | | | | 38,055 | |
| | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 415,587 | | | | 98,339 | | | | 1,286 | | | | 131,110 | | | | 646,322 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | | | 382,019 | | | | 150,260 | | | | 752 | | | | (100,625 | ) | | | 432,406 | |
Equity in earnings (losses) from unconsolidated subsidiaries(5) | | | 20,308 | | | | — | | | | 107,213 | | | | (212 | ) | | | 127,309 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) before income taxes | | | 402,327 | | | | 150,260 | | | | 107,965 | | | | (100,837 | ) | | | 559,715 | |
Income tax expense (benefit) | | | 112,010 | | | | 46,747 | | | | 10,706 | | | | (29,399 | ) | | | 140,064 | |
| | | | | | | | | | | | | | | | | | | | |
Net income (loss) | | $ | 290,317 | | | $ | 103,513 | | | $ | 97,259 | | | $ | (71,438 | ) | | $ | 419,651 | |
| | | | | | | | | | | | | | | | | | | | |
Loss ratio(7) | | | 38.2 | % | | | 23.1 | % | | | | | | | | | | | | |
Expense ratio(7) | | | 23.2 | % | | | 29.0 | % | | | | | | | | | | | | |
Combined ratio | | | 61.4 | % | | | 52.1 | % | | | | | | | | | | | | |
Page 7
THE PMI GROUP, INC. AND SUBSIDIARIES
BUSINESS SEGMENTS BALANCE SHEETS
| | | | | | | | | | | | | | | | | |
| | U.S. Mortgage Insurance Operations (1) | | International Operations (2) | | Financial Guaranty(3) | | | Corporate and Other (4) | | | Consolidated Total |
| | December 31, 2007 (Audited) |
| | (Dollars in thousands) |
Assets | | | | | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 1,531,606 | | $ | 1,514,198 | | $ | 167,915 | | | $ | 52,974 | | | $ | 3,266,693 |
Equity securities: | | | | | | | | | | | | | | | | | |
Common | | | 116,005 | | | 42,689 | | | — | | | | 1,242 | | | | 159,936 |
Preferred | | | 277,165 | | | — | | | 22,465 | | | | — | | | | 299,630 |
Short term investments | | | 951 | | | 641 | | | — | | | | 1,300 | | | | 2,892 |
| | | | | | | | | | | | | | | | | |
Total investments | | $ | 1,925,727 | | $ | 1,557,528 | | $ | 190,380 | | | $ | 55,516 | | | $ | 3,729,151 |
Cash and cash equivalents | | | 229,446 | | | 135,702 | | | 11,252 | | | | 51,512 | | | | 427,912 |
Investments in unconsolidated subsidiaries(5) | | | 131,225 | | | — | | | 163,661 | | | | 14,914 | | | | 309,800 |
Property, equipment and software, net of accumulated depreciation and amortization | | | 75,884 | | | 6,549 | | | 187 | | | | 79,142 | | | | 161,762 |
Other assets | | | 234,422 | | | 100,908 | | | 56,828 | | | | 49,657 | | | | 441,815 |
| | | | | | | �� | | | | | | | | | | |
Total assets | | $ | 2,596,704 | | $ | 1,800,687 | | $ | 422,308 | | | $ | 250,741 | | | $ | 5,070,440 |
| | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 1,133,080 | | $ | 106,869 | | $ | 2,650 | | | $ | — | | | $ | 1,242,599 |
Unearned premiums | | | 107,200 | | | 497,309 | | | 6,709 | | | | 29 | | | | 611,247 |
Long-term debt | | | — | | | — | | | 50,000 | | | | 446,593 | | | | 496,593 |
Other liabilities (assets) | | | 129,246 | | | 75,416 | | | 2,892 | | | | (515 | ) | | | 207,039 |
| | | | | | | | | | | | | | | | | |
Total liabilities | | | 1,369,526 | | | 679,594 | | | 62,251 | | | | 446,107 | | | | 2,557,478 |
Shareholders’ equity | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital, treasury stock and retained earnings | | | 1,173,202 | | | 866,585 | | | 348,388 | | | | (190,290 | ) | | | 2,197,885 |
Accumulated other comprehensive income (loss), net of deferred taxes | | | 53,976 | | | 254,508 | | | 11,669 | | | | (5,076 | ) | | | 315,077 |
| | | | | | | | | | | | | | | | | |
Total shareholders’ equity (deficit) | | | 1,227,178 | | | 1,121,093 | | | 360,057 | | | | (195,366 | ) | | | 2,512,962 |
| | | | | | | | | | | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 2,596,704 | | $ | 1,800,687 | | $ | 422,308 | | | $ | 250,741 | | | $ | 5,070,440 |
| | | | | | | | | | | | | | | | | |
| |
| | December 31, 2006 (Audited) |
| | (Dollars in thousands) |
Assets | | | | | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 1,563,335 | | $ | 1,129,580 | | $ | 77,803 | | | $ | 56,135 | | | $ | 2,826,853 |
Equity securities: | | | | | | | | | | | | | | | | | |
Common | | | 127,825 | | | 34,438 | | | — | | | | — | | | | 162,263 |
Preferred | | | 232,736 | | | — | | | 16,025 | | | | — | | | | 248,761 |
Short term investments | | | 929 | | | 3,952 | | | — | | | | 1,300 | | | | 6,181 |
| | | | | | | | | | | | | | | | | |
Total investments | | $ | 1,924,825 | | $ | 1,167,970 | | $ | 93,828 | | | $ | 57,435 | | | $ | 3,244,058 |
Cash and cash equivalents | | | 65,501 | | | 181,099 | | | 116,449 | | | | 143,033 | | | | 506,082 |
Investments in unconsolidated subsidiaries(5) | | | 132,403 | | | — | | | 950,249 | | | | 17,735 | | | | 1,100,387 |
Property, equipment and software, net of accumulated depreciation and amortization | | | 87,139 | | | 4,002 | | | — | | | | 82,987 | | | | 174,128 |
Other assets | | | 185,820 | | | 78,927 | | | 4,292 | | | | 23,861 | | | | 292,900 |
| | | | | | | | | | | | | | | | | |
Total assets | | $ | 2,395,688 | | $ | 1,431,998 | | $ | 1,164,818 | | | $ | 325,051 | | | $ | 5,317,555 |
| | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 366,182 | | $ | 48,554 | | $ | — | | | $ | — | | | $ | 414,736 |
Unearned premiums | | | 106,445 | | | 412,196 | | | 1,589 | | | | 34 | | | | 520,264 |
Debt | | | — | | | — | | | 50,000 | | | | 446,593 | | | | 496,593 |
Other liabilities (assets) | | | 283,544 | | | 58,010 | | | 41,440 | | | | (65,622 | ) | | | 317,372 |
| | | | | | | | | | | | | | | | | |
Total liabilities | | | 756,171 | | | 518,760 | | | 93,029 | | | | 381,005 | | | | 1,748,965 |
Shareholders’ equity | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital, treasury stock and retained earnings | | | 1,548,452 | | | 737,118 | | | 1,071,865 | | | | (52,925 | ) | | | 3,304,510 |
Accumulated other comprehensive income (loss), net of deferred taxes | | | 91,065 | | | 176,120 | | | (76 | ) | | | (3,029 | ) | | | 264,080 |
| | | | | | | | | | | | | | | | | |
Total shareholders’ equity (deficit) | | | 1,639,517 | | | 913,238 | | | 1,071,789 | | | | (55,954 | ) | | | 3,568,590 |
| | | | | | | | | | | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 2,395,688 | | $ | 1,431,998 | | $ | 1,164,818 | | | $ | 325,051 | | | $ | 5,317,555 |
| | | | | | | | | | | | | | | | | |
Page 8
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS SEGMENT(1) RESULTS OF OPERATIONS AND BALANCE SHEETS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
Income Statement Components -Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total | |
| | (Dollars in thousands) | | | (Dollars in thousands) | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums written: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 258,026 | | | $ | 266,545 | | | $ | 236,412 | | | $ | 240,430 | | | $ | 1,001,413 | | | $ | 221,747 | | | $ | 205,848 | | | $ | 203,426 | | | $ | 208,136 | | | $ | 839,157 | |
Ceded premiums, net of assumed premiums | | | (51,467 | ) | | | (46,993 | ) | | | (42,973 | ) | | | (41,135 | ) | | | (182,568 | ) | | | (42,608 | ) | | | (42,108 | ) | | | (41,402 | ) | | | (41,655 | ) | | | (167,773 | ) |
Refunded premiums | | | (6,306 | ) | | | (5,154 | ) | | | (4,259 | ) | | | (3,379 | ) | | | (19,098 | ) | | | (3,409 | ) | | | (3,272 | ) | | | (3,120 | ) | | | (3,007 | ) | | | (12,808 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums written | | | 200,253 | | | | 214,398 | | | | 189,180 | | | | 195,916 | | | | 799,747 | | | | 175,730 | | | | 160,468 | | | | 158,904 | | | | 163,474 | | | | 658,576 | |
Change in unearned premiums | | | 6,001 | | | | (8,859 | ) | | | 6,205 | | | | (2,157 | ) | | | 1,190 | | | | 8,781 | | | | 7,650 | | | | 8,922 | | | | 4,064 | | | | 29,417 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 206,254 | | | $ | 205,539 | | | $ | 195,385 | | | $ | 193,759 | | | $ | 800,937 | | | $ | 184,511 | | | $ | 168,118 | | | $ | 167,826 | | | $ | 167,538 | | | $ | 687,993 | |
Net investment income | | | 27,281 | | | | 28,786 | | | | 25,966 | | | | 28,322 | | | | 110,355 | | | | 26,071 | | | | 27,082 | | | | 27,064 | | | | 25,676 | | | | 105,893 | |
Net realized investment (losses) gains | | | (1,526 | ) | | | 2,865 | | | | 981 | | | | 2,267 | | | | 4,587 | | | | 1,627 | | | | 1,620 | | | | 305 | | | | 237 | | | | 3,789 | |
Other (loss) income | | | (86 | ) | | | 167 | | | | 17 | | | | (13 | ) | | | 85 | | | | (30 | ) | | | (22 | ) | | | 7 | | | | (24 | ) | | | (69 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 231,923 | | | | 237,357 | | | | 222,349 | | | | 224,335 | | | | 915,964 | | | | 212,179 | | | | 196,798 | | | | 195,202 | | | | 193,427 | | | | 797,606 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 520,611 | | | | 348,314 | | | | 134,384 | | | | 92,784 | | | | 1,096,093 | | | | 72,039 | | | | 67,699 | | | | 64,153 | | | | 59,146 | | | | 263,037 | |
Amortization of deferred policy acquisition costs | | | 46,213 | | | | 12,809 | | | | 12,610 | | | | 12,582 | | | | 84,214 | | | | 12,544 | | | | 12,830 | | | | 13,162 | | | | 13,443 | | | | 51,979 | |
Other underwriting and operating expenses | | | 22,717 | | | | 18,420 | | | | 26,759 | | | | 27,661 | | | | 95,557 | | | | 27,116 | | | | 22,619 | | | | 22,970 | | | | 27,864 | | | | 100,569 | |
Interest expense | | | 33 | | | | 36 | | | | 39 | | | | — | | | | 108 | | | | — | | | | 1 | | | | 1 | | | | — | | | | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 589,574 | | | | 379,579 | | | | 173,792 | | | | 133,027 | | | | 1,275,972 | | | | 111,699 | | | | 103,149 | | | | 100,286 | | | | 100,453 | | | | 415,587 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(Loss) income before equity in earnings from unconsolidated subsidiaries and income taxes | | | (357,651 | ) | | | (142,222 | ) | | | 48,557 | | | | 91,308 | | | $ | (360,008 | ) | | | 100,480 | | | | 93,649 | | | | 94,916 | | | | 92,974 | | | | 382,019 | |
Equity in earnings from unconsolidated subsidiaries | | | 3,474 | | | | 4,167 | | | | 4,617 | | | | 4,861 | | | | 17,119 | | | | 5,077 | | | | 5,010 | | | | 5,729 | | | | 4,492 | | | | 20,308 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (354,177 | ) | | | (138,055 | ) | | | 53,174 | | | | 96,169 | | | | (342,889 | ) | | | 105,557 | | | | 98,659 | | | | 100,645 | | | | 97,466 | | | | 402,327 | |
Income tax (benefit) expense | | | (118,160 | ) | | | (72,833 | ) | | | 11,627 | | | | 27,293 | | | | (152,073 | ) | | | 28,349 | | | | 27,819 | | | | 28,480 | | | | 27,362 | | | | 112,010 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (236,017 | ) | | $ | (65,222 | ) | | $ | 41,547 | | | $ | 68,876 | | | $ | (190,816 | ) | | $ | 77,208 | | | $ | 70,840 | | | $ | 72,165 | | | $ | 70,104 | | | $ | 290,317 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss ratio(7) | | | 252.4 | % | | | 169.5 | % | | | 68.8 | % | | | 47.9 | % | | | 136.9 | % | | | 39.0 | % | | | 40.3 | % | | | 38.2 | % | | | 35.3 | % | | | 38.2 | % |
Expense ratio(7) | | | 34.4 | % | | | 14.6 | % | | | 20.8 | % | | | 20.5 | % | | | 22.5 | % | | | 22.6 | % | | | 22.1 | % | | | 22.7 | % | | | 25.3 | % | | | 23.2 | % |
Combined ratio | | | 286.8 | % | | | 184.1 | % | | | 89.6 | % | | | 68.4 | % | | | 159.4 | % | | | 61.6 | % | | | 62.4 | % | | | 60.9 | % | | | 60.6 | % | | | 61.4 | % |
| | | | | | | | | | |
Balance Sheet Components -As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | | |
| | (Dollars in thousands) | | | | | | (Dollars in thousands) | | |
Assets | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 1,531,606 | | | $ | 1,567,122 | | | $ | 1,523,285 | | | $ | 1,540,150 | | | | | | | $ | 1,563,335 | | | $ | 1,614,966 | | | $ | 1,666,359 | | | $ | 1,776,309 | | |
Equity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common | | | 116,005 | | | | 135,738 | | | | 141,255 | | | | 129,096 | | | | | | | | 127,825 | | | | 119,493 | | | | 113,698 | | | | 118,310 | | |
Preferred | | | 277,165 | | | | 283,051 | | | | 236,403 | | | | 229,948 | | | | | | | | 232,736 | | | | 239,919 | | | | 180,884 | | | | 156,262 | | |
Short term investments | | | 951 | | | | 951 | | | | 947 | | | | 930 | | | | | | | | 929 | | | | 930 | | | | 795 | | | | 399 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investments | | $ | 1,925,727 | | | $ | 1,986,862 | | | $ | 1,901,890 | | | $ | 1,900,124 | | | | | | | $ | 1,924,825 | | | $ | 1,975,308 | | | $ | 1,961,736 | | | $ | 2,051,280 | | |
Cash and cash equivalents | | | 229,446 | | | | 91,460 | | | | 165,114 | | | | 262,327 | | | | | | | | 65,501 | | | | 89,263 | | | | 297,657 | | | | 152,155 | | |
Investments in unconsolidated subsidiaries | | | 131,225 | | | | 127,206 | | | | 122,072 | | | | 137,041 | | | | | | | | 132,403 | | | | 127,424 | | | | 120,574 | | | | 133,218 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 75,884 | | | | 80,170 | | | | 83,293 | | | | 84,448 | | | | | | | | 87,139 | | | | 90,093 | | | | 93,249 | | | | 95,693 | | |
Other assets | | | 234,422 | | | | 234,041 | | | | 186,205 | | | | 170,820 | | | | | | | | 185,820 | | | | 184,494 | | | | 173,512 | | | | 174,898 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 2,596,704 | | | $ | 2,519,739 | | | $ | 2,458,574 | | | $ | 2,554,760 | | | | | | | $ | 2,395,688 | | | $ | 2,466,582 | | | $ | 2,646,728 | | | $ | 2,607,244 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 1,133,080 | | | $ | 698,238 | | | $ | 444,594 | | | $ | 386,036 | | | | | | | $ | 366,182 | | | $ | 358,784 | | | $ | 355,832 | | | $ | 346,437 | | |
Unearned premiums | | | 107,200 | | | | 112,634 | | | | 103,331 | | | | 108,968 | | | | | | | | 106,445 | | | | 114,720 | | | | 147,739 | | | | 156,993 | | |
Other liabilities | | | 129,246 | | | | 205,749 | | | | 265,268 | | | | 347,720 | | | | | | | | 283,544 | | | | 257,035 | | | | 284,851 | | | | 282,510 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 1,369,526 | | | | 1,016,621 | | | | 813,193 | | | | 842,724 | | | | | | | | 756,171 | | | | 730,539 | | | | 788,422 | | | | 785,940 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital and retained earnings | | | 1,173,202 | | | | 1,422,818 | | | | 1,564,260 | | | | 1,627,452 | | | | | | | | 1,548,452 | | | | 1,645,914 | | | | 1,797,158 | | | | 1,742,255 | | |
Accumulated other comprehensive income, net of deferred taxes | | | 53,976 | | | | 80,300 | | | | 81,121 | | | | 84,584 | | | | | | | | 91,065 | | | | 90,129 | | | | 61,148 | | | | 79,049 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s equity | | | 1,227,178 | | | | 1,503,118 | | | | 1,645,381 | | | | 1,712,036 | | | | | | | | 1,639,517 | | | | 1,736,043 | | | | 1,858,306 | | | | 1,821,304 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity | | $ | 2,596,704 | | | $ | 2,519,739 | | | $ | 2,458,574 | | | $ | 2,554,760 | | | | | | | $ | 2,395,688 | | | $ | 2,466,582 | | | $ | 2,646,728 | | | $ | 2,607,244 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Page 9
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total | |
| | (Dollars in millions) | | | (Dollars in millions) | |
New Insurance Written | | | | | | | | |
Flow insurance written | | $ | 8,701 | | | $ | 11,091 | | | $ | 10,268 | | | $ | 7,524 | | | $ | 37,584 | | | $ | 6,498 | | | $ | 6,015 | | | $ | 5,716 | | | $ | 5,041 | | | $ | 23,270 | |
Structured insurance written | | | 369 | | | | 3,404 | | | | 1,337 | | | | 3,439 | | | | 8,549 | | | | 2,932 | | | | 1,641 | | | | 1,344 | | | | 3,047 | | | | 8,964 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Primary new insurance written | | $ | 9,070 | | | $ | 14,495 | | | $ | 11,605 | | | $ | 10,963 | | | $ | 46,133 | | | $ | 9,430 | | | $ | 7,656 | | | $ | 7,060 | | | $ | 8,088 | | | $ | 32,234 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Primary new risk written | | $ | 2,215 | | | $ | 3,533 | | | $ | 2,806 | | | $ | 2,920 | | | $ | 11,474 | | | $ | 2,427 | | | $ | 1,980 | | | $ | 1,790 | | | $ | 2,148 | | | $ | 8,345 | |
Pool new insurance written(8) | | $ | 968 | | | $ | 1,953 | | | $ | 5,270 | | | $ | 6,188 | | | $ | 14,379 | | | $ | 12,338 | | | $ | 3,924 | | | $ | 3,575 | | | $ | 4,726 | | | $ | 24,563 | |
Pool new risk written(8) | | $ | 14 | | | $ | 41 | | | $ | 122 | | | $ | 178 | | | $ | 355 | | | $ | 450 | | | $ | 84 | | | $ | 108 | | | $ | 104 | | | $ | 746 | |
Product mix as a % of primary new insurance written: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
High LTV (above 97% LTV’s) | | | 21 | % | | | 31 | % | | | 35 | % | | | 36 | % | | | 32 | % | | | 27 | % | | | 19 | % | | | 17 | % | | | 13 | % | | | 19 | % |
95.01% to 97% LTV’s | | | 2 | % | | | 2 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 2 | % | | | 2 | % | | | 1 | % | | | 2 | % |
90.01% to 95% LTV’s | | | 26 | % | | | 26 | % | | | 21 | % | | | 22 | % | | | 24 | % | | | 19 | % | | | 21 | % | | | 22 | % | | | 21 | % | | | 21 | % |
85.01% to 90% LTV’s | | | 40 | % | | | 30 | % | | | 31 | % | | | 27 | % | | | 31 | % | | | 34 | % | | | 44 | % | | | 46 | % | | | 46 | % | | | 42 | % |
85% and below | | | 11 | % | | | 11 | % | | | 10 | % | | | 12 | % | | | 10 | % | | | 17 | % | | | 14 | % | | | 13 | % | | | 19 | % | | | 16 | % |
Less than A quality loans | | | 8 | % | | | 12 | % | | | 10 | % | | | 9 | % | | | 10 | % | | | 7 | % | | | 5 | % | | | 5 | % | | | 8 | % | | | 6 | % |
Alt-A loans | | | 15 | % | | | 22 | % | | | 32 | % | | | 38 | % | | | 27 | % | | | 36 | % | | | 37 | % | | | 33 | % | | | 35 | % | | | 34 | % |
Interest only loans | | | 12 | % | | | 18 | % | | | 24 | % | | | 26 | % | | | 20 | % | | | 23 | % | | | 16 | % | | | 11 | % | | | 22 | % | | | 18 | % |
Payment option ARMS | | | 1 | % | | | 2 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 6 | % | | | 9 | % | | | 10 | % | | | 8 | % | | | 8 | % |
ARMs | | | 3 | % | | | 8 | % | | | 8 | % | | | 16 | % | | | 9 | % | | | 20 | % | | | 19 | % | | | 20 | % | | | 39 | % | | | 24 | % |
Monthlies | | | 98 | % | | | 86 | % | | | 98 | % | | | 95 | % | | | 94 | % | | | 96 | % | | | 96 | % | | | 96 | % | | | 97 | % | | | 96 | % |
Refinances | | | 36 | % | | | 31 | % | | | 38 | % | | | 47 | % | | | 37 | % | | | 38 | % | | | 34 | % | | | 32 | % | | | 39 | % | | | 36 | % |
Structured transactions | | | 4 | % | | | 23 | % | | | 12 | % | | | 31 | % | | | 19 | % | | | 31 | % | | | 21 | % | | | 19 | % | | | 38 | % | | | 28 | % |
Page 10
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (2)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | |
| | (Dollars in millions, except loan size) | | | (Dollars in millions, except loan size) | |
Primary Insurance and Risk in Force | | | | | | | | |
Primary insurance in force | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | $ | 102,410 | | | $ | 98,105 | | | $ | 91,864 | | | $ | 87,184 | | | $ | 85,086 | | | $ | 84,405 | | | $ | 84,644 | | | $ | 85,685 | |
Structured transactions | | | 21,213 | | | | 21,864 | | | | 19,803 | | | | 19,701 | | | | 17,549 | | | | 15,877 | | | | 15,741 | | | | 15,826 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 123,623 | | | $ | 119,969 | | | $ | 111,667 | | | $ | 106,885 | | | $ | 102,635 | | | $ | 100,282 | | | $ | 100,385 | | | $ | 101,511 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Primary risk in force | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | $ | 25,852 | | | $ | 24,754 | | | $ | 23,075 | | | $ | 21,837 | | | $ | 21,095 | | | $ | 20,855 | | | $ | 20,883 | | | $ | 21,102 | |
Structured transactions | | | 5,115 | | | | 5,324 | | | | 5,016 | | | | 5,138 | | | | 4,616 | | | | 4,193 | | | | 4,127 | | | | 4,147 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 30,967 | | | $ | 30,078 | | | $ | 28,091 | | | $ | 26,975 | | | $ | 25,711 | | | $ | 25,048 | | | $ | 25,010 | | | $ | 25,249 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pool risk in force(8) | | $ | 3,464 | | | $ | 3,476 | | | $ | 3,461 | | | $ | 3,373 | | | $ | 3,216 | | | $ | 2,773 | | | $ | 2,737 | | | $ | 2,666 | |
Primary risk in force - credit score distribution | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
620 or above | | | 93.1 | % | | | 93.1 | % | | | 93.6 | % | | | 93.8 | % | | | 93.7 | % | | | 93.5 | % | | | 93.3 | % | | | 93.2 | % |
619-575 | | | 5.3 | % | | | 5.3 | % | | | 5.0 | % | | | 4.9 | % | | | 5.0 | % | | | 5.2 | % | | | 5.3 | % | | | 5.4 | % |
574 or below | | | 1.6 | % | | | 1.6 | % | | | 1.4 | % | | | 1.3 | % | | | 1.3 | % | | | 1.3 | % | | | 1.4 | % | | | 1.4 | % |
Structured transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
620 or above | | | 86.1 | % | | | 86.1 | % | | | 85.4 | % | | | 85.3 | % | | | 84.7 | % | | | 82.8 | % | | | 80.6 | % | | | 79.2 | % |
619-575 | | | 8.8 | % | | | 8.8 | % | | | 9.2 | % | | | 9.2 | % | | | 9.8 | % | | | 10.8 | % | | | 12.3 | % | | | 13.2 | % |
574 or below | | | 5.1 | % | | | 5.1 | % | | | 5.4 | % | | | 5.5 | % | | | 5.5 | % | | | 6.4 | % | | | 7.1 | % | | | 7.6 | % |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
620 or above | | | 91.9 | % | | | 91.9 | % | | | 92.1 | % | | | 92.2 | % | | | 92.0 | % | | | 91.7 | % | | | 91.3 | % | | | 90.9 | % |
619-575 | | | 5.9 | % | | | 5.9 | % | | | 5.8 | % | | | 5.7 | % | | | 5.9 | % | | | 6.1 | % | | | 6.4 | % | | | 6.6 | % |
574 or below | | | 2.2 | % | | | 2.2 | % | | | 2.1 | % | | | 2.1 | % | | | 2.1 | % | | | 2.2 | % | | | 2.3 | % | | | 2.5 | % |
Primary average loan size(in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | $ | 153.7 | | | $ | 150.6 | | | $ | 146.6 | | | $ | 142.8 | | | $ | 140.0 | | | $ | 138.3 | | | $ | 136.9 | | | $ | 135.6 | |
Structured transactions | | $ | 161.7 | | | $ | 162.0 | | | $ | 159.6 | | | $ | 159.2 | | | $ | 155.6 | | | $ | 151.8 | | | $ | 150.7 | | | $ | 150.7 | |
Total | | $ | 155.0 | | | $ | 152.6 | | | $ | 148.7 | | | $ | 145.5 | | | $ | 142.5 | | | $ | 140.3 | | | $ | 138.9 | | | $ | 137.8 | |
Loss severity(17) - primary(quarterly) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | | 95.5 | % | | | 90.6 | % | | | 87.9 | % | | | 88.5 | % | | | 88.6 | % | | | 83.1 | % | | | 83.2 | % | | | 84.9 | % |
Structured transactions | | | 94.6 | % | | | 92.0 | % | | | 92.5 | % | | | 90.3 | % | | | 92.4 | % | | | 86.7 | % | | | 86.8 | % | | | 91.2 | % |
Total | | | 95.2 | % | | | 91.1 | % | | | 89.3 | % | | | 89.0 | % | | | 89.6 | % | | | 84.0 | % | | | 84.1 | % | | | 86.5 | % |
Persistency (18) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Primary persistency rate | | | 75.5 | % | | | 73.3 | % | | | 71.7 | % | | | 70.7 | % | | | 69.6 | % | | | 67.3 | % | | | 64.9 | % | | | 63.1 | % |
Risk-to-capital ratio(9) | | | 10.8 to 1 | | | | 9.6 to 1 | | | | 8.6 to 1 | | | | 8.3 to 1 | | | | 8.1 to 1 | | | | 8.2 to 1 | | | | 7.7 to 1 | | | | 8.1 to 1 | |
Page 11
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (3)
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12/31/2007 | | | 9/30/2007 | | | 12/31/2006 | | | | |
| | Primary Risk in Force | | | Percent of Total | | | Primary Risk in Force | | | Percent of Total | | | Primary Risk in Force | | | Percent of Total | | |
| | (In millions) | | | | | | (In millions) | | | | | | (In millions) | | | | | |
Policy Year As a Percentage of Primary Risk in Force (RIF) | | | | | | | | | |
Prior to 1999 | | $ | 436 | | | 1.4 | % | | $ | 462 | | | 1.5 | % | | $ | 571 | | | 2.2 | % | |
1999 | | | 312 | | | 1.0 | % | | | 324 | | | 1.1 | % | | | 377 | | | 1.5 | % | |
2000 | | | 144 | | | 0.5 | % | | | 151 | | | 0.5 | % | | | 190 | | | 0.7 | % | |
2001 | | | 539 | | | 1.7 | % | | | 569 | | | 1.9 | % | | | 696 | | | 2.7 | % | |
2002 | | | 1,173 | | | 3.8 | % | | | 1,245 | | | 4.1 | % | | | 1,520 | | | 5.9 | % | |
2003 | | | 3,174 | | | 10.2 | % | | | 3,346 | | | 11.1 | % | | | 4,084 | | | 15.9 | % | |
2004 | | | 3,344 | | | 10.8 | % | | | 3,557 | | | 11.8 | % | | | 4,507 | | | 17.5 | % | |
2005 | | | 4,829 | | | 15.6 | % | | | 5,092 | | | 16.9 | % | | | 6,254 | | | 24.3 | % | |
2006 | | | 6,191 | | | 20.0 | % | | | 6,456 | | | 21.5 | % | | | 7,512 | | | 29.3 | % | |
2007 | | | 10,825 | | | 35.0 | % | | | 8,876 | | | 29.5 | % | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 30,967 | | | | | | $ | 30,078 | | | | | | $ | 25,711 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | 12/31/2007 | | | 9/30/2007 | | | 12/31/2006 | | | | |
| | % of Primary RIF | | | Primary Default Rate | | | % of Primary RIF | | | Primary Default Rate | | | % of Primary RIF | | | Primary Default Rate | | |
Top 10 States as a Percentage of Primary Risk in Force, | | | | | | | | | |
(Ranking based on 12/31/07 RIF) | | | | | | | | | | | | |
Florida | | | 10.8 | % | | 10.6 | % | | | 10.8 | % | | 7.0 | % | | | 10.7 | % | | 3.4 | % | |
California | | | 8.1 | % | | 10.9 | % | | | 7.7 | % | | 7.4 | % | | | 7.0 | % | | 3.6 | % | |
Texas | | | 7.2 | % | | 6.0 | % | | | 7.2 | % | | 5.3 | % | | | 7.4 | % | | 5.6 | % | |
Illinois | | | 5.0 | % | | 8.2 | % | | | 5.1 | % | | 6.5 | % | | | 5.1 | % | | 5.6 | % | |
Georgia | | | 4.7 | % | | 9.5 | % | | | 4.7 | % | | 8.2 | % | | | 4.7 | % | | 7.9 | % | |
Ohio | | | 3.8 | % | | 10.8 | % | | | 3.9 | % | | 9.3 | % | | | 4.3 | % | | 8.8 | % | |
New York | | | 3.6 | % | | 6.8 | % | | | 3.6 | % | | 6.2 | % | | | 3.8 | % | | 5.4 | % | |
Pennsylvania | | | 3.3 | % | | 7.5 | % | | | 3.4 | % | | 6.5 | % | | | 3.6 | % | | 6.0 | % | |
Washington | | | 3.1 | % | | 3.6 | % | | | 3.0 | % | | 2.8 | % | | | 2.9 | % | | 2.8 | % | |
New Jersey | | | 3.0 | % | | 7.5 | % | | | 3.1 | % | | 6.1 | % | | | 3.1 | % | | 4.6 | % | |
| | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | |
As a Percentage of Primary Risk in Force - loan to value ratios | | | | | | | | | | | | | | |
High LTV (above 97% LTV’s) | | | 24.6 | % | | 23.9 | % | | | 22.4 | % | | 20.3 | % | | | 17.6 | % | | 15.9 | % | | 15.1 | % | | 14.6 | % |
95.01% to 97% LTV’s | | | 3.8 | % | | 4.0 | % | | | 4.3 | % | | 4.5 | % | | | 4.6 | % | | 4.8 | % | | 4.9 | % | | 5.0 | % |
90.01% to 95% LTV’s | | | 29.5 | % | | 29.3 | % | | | 29.4 | % | | 30.1 | % | | | 31.0 | % | | 31.9 | % | | 32.5 | % | | 33.0 | % |
85.01% to 90% LTV’s | | | 35.0 | % | | 34.9 | % | | | 35.7 | % | | 36.5 | % | | | 37.9 | % | | 38.5 | % | | 38.3 | % | | 37.9 | % |
85% and below | | | 7.1 | % | | 7.9 | % | | | 8.2 | % | | 8.6 | % | | | 8.9 | % | | 8.9 | % | | 9.2 | % | | 9.5 | % |
As a Percentage of Primary Risk in Force: | | | | | | | | | | | | | | |
Less-than-A quality (FICO scores below 620) | | | 8.1 | % | | 8.1 | % | | | 7.9 | % | | 7.8 | % | | | 8.0 | % | | 8.3 | % | | 8.7 | % | | 9.1 | % |
Less-than-A quality (FICO scores below 575)(A) | | | 2.2 | % | | 2.2 | % | | | 2.1 | % | | 2.1 | % | | | 2.1 | % | | 2.2 | % | | 2.3 | % | | 2.5 | % |
Alt-A Loans: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
With FICO scores of 660 and above | | | 19.6 | % | | 20.0 | % | | | 19.3 | % | | 18.3 | % | | | 16.3 | % | | 15.1 | % | | 14.0 | % | | 15.3 | % |
With FICO scores below 660 and above 619 | | | 3.2 | % | | 3.4 | % | | | 3.7 | % | | 3.8 | % | | | 3.6 | % | | 3.5 | % | | 3.3 | % | | 3.1 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Alt-A Loans | | | 22.8 | % | | 23.4 | % | | | 23.0 | % | | 22.1 | % | | | 19.9 | % | | 18.6 | % | | 17.3 | % | | 18.4 | % |
ARMs(B) | | | 12.8 | % | | 14.1 | % | | | 16.0 | % | | 17.7 | % | | | 18.7 | % | | 19.4 | % | | 20.4 | % | | 21.1 | % |
Interest Only(C) | | | 14.2 | % | | 14.2 | % | | | 13.6 | % | | 12.1 | % | | | 9.9 | % | | 8.2 | % | | 7.6 | % | | 7.5 | % |
Payment Option ARMs | | | 3.8 | % | | 3.9 | % | | | 4.2 | % | | 4.3 | % | | | 4.5 | % | | 4.5 | % | | 4.2 | % | | 3.8 | % |
(A) | Less-than-A quality loans with FICO scores below 575 is a subset of PMI’s less-than-A quality loan portfolio. |
(B) | Approximately 3.2% and 1.1% of RIF are subject to initial payment adjustment in 2008 and 2009, respectively. |
(C) | Approximately 89% and 98% of interest only loans written in 2006 and the first nine months of 2007, respectively, have an initial deferral period of 5 years or greater. |
Page 12
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS DEFAULT INFORMATION AND ANALYSIS OF LOSS RESERVES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total (13) | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total (13) | |
| | (Dollars in millions, except claim size) | | | (Dollars in millions, except claim size) | |
Primary loans, defaults and default rates | | | | | | | | | | | | | | | | | |
Primary policies in force | | | 797,419 | | | | 786,301 | | | | 750,835 | | | | 734,431 | | | | 797,419 | | | | 720,347 | | | | 714,742 | | | | 722,756 | | | | 736,908 | | | | 720,347 | |
Primary loans in default | | | 63,197 | | | | 50,742 | | | | 42,349 | | | | 39,206 | | | | 63,197 | | | | 39,997 | | | | 38,573 | | | | 37,102 | | | | 37,784 | | | | 39,997 | |
Primary default rate | | | 7.93 | % | | | 6.45 | % | | | 5.64 | % | | | 5.34 | % | | | 7.93 | % | | | 5.55 | % | | | 5.40 | % | | | 5.13 | % | | | 5.13 | % | | | 5.55 | % |
Flow only default rate | | | 6.74 | % | | | 5.38 | % | | | 4.70 | % | | | 4.54 | % | | | 6.74 | % | | | 4.75 | % | | | 4.61 | % | | | 4.44 | % | | | 4.55 | % | | | 4.75 | % |
Structured transactions only default rate | | | 13.92 | % | | | 11.65 | % | | | 10.37 | % | | | 9.29 | % | | | 13.92 | % | | | 9.86 | % | | | 9.96 | % | | | 9.26 | % | | | 8.59 | % | | | 9.86 | % |
Pool default rate | | | 7.76 | % | | | 6.18 | % | | | 5.17 | % | | | 4.82 | % | | | 7.76 | % | | | 4.24 | % | | | 4.81 | % | | | 5.60 | % | | | 6.17 | % | | | 4.24 | % |
Claims paid(in millions) | | | | | | | | | | | | | | | | | | | | | | | | | |
Primary claims paid - flow | | $ | 71.0 | | | $ | 57.7 | | | $ | 46.7 | | | $ | 46.9 | | | $ | 222.3 | | | $ | 43.4 | | | $ | 43.1 | | | $ | 37.1 | | | $ | 38.0 | | | $ | 161.6 | |
Primary claims paid - structured transactions | | | 34.7 | | | | 29.4 | | | | 21.6 | | | | 18.4 | | | | 104.1 | | | | 15.6 | | | | 14.9 | | | | 11.6 | | | | 13.7 | | | | 55.8 | |
Supplemental and other | | | 3.5 | | | | 0.6 | | | | (0.5 | ) | | | (0.4 | ) | | | 3.2 | | | | (0.6 | ) | | | (0.7 | ) | | | (1.2 | ) | | | (0.9 | ) | | | (3.4 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total primary claims paid | | | 109.2 | | | | 87.7 | | | | 67.8 | | | | 64.9 | | | | 329.6 | | | | 58.4 | | | | 57.3 | | | | 47.5 | | | | 50.8 | | | | 214.0 | |
Total pool and other | | | 5.3 | | | | 4.9 | | | | 4.5 | | | | 4.4 | | | | 19.1 | | | | 3.0 | | | | 4.7 | | | | 4.6 | | | | 4.3 | | | | 16.6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total claims paid | | | 114.5 | | | | 92.6 | | | | 72.3 | | | | 69.3 | | | | 348.7 | | | | 61.4 | | | | 62.0 | | | | 52.1 | | | | 55.1 | | | | 230.6 | |
Loss adjustment expenses | | | 3.4 | | | | 3.3 | | | | 3.4 | | | | 3.5 | | | | 13.6 | | | | 3.3 | | | | 3.0 | | | | 2.9 | | | | 3.0 | | | | 12.2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total claims paid including loss adjustment expenses | | $ | 117.9 | | | $ | 95.9 | | | $ | 75.7 | | | $ | 72.8 | | | $ | 362.3 | | | $ | 64.7 | | | $ | 65.0 | | | $ | 55.0 | | | $ | 58.1 | | | $ | 242.8 | |
Number of primary claims paid | | | 2,889 | | | | 2,675 | | | | 2,336 | | | | 2,362 | | | | 10,262 | | | | 2,195 | | | | 2,346 | | | | 2,038 | | | | 2,058 | | | | 8,637 | |
Average primary claim size(in thousands) | | $ | 37.8 | | | $ | 32.8 | | | $ | 29.0 | | | $ | 27.5 | | | $ | 32.1 | | | $ | 26.6 | | | $ | 24.4 | | | $ | 23.3 | | | $ | 24.7 | | | $ | 24.8 | |
Captive reinsurance arrangements(quarter-to-date) | | | | | | | | | | | | | | | | | |
Percentage of flow NIW subject to captive reinsurance arrangements | | | 74.3 | % | | | 64.2 | % | | | 60.9 | % | | | 49.2 | % | | | 62.7 | % | | | 61.6 | % | | | 72.2 | % | | | 72.8 | % | | | 69.6 | % | | | 68.8 | % |
Percentage of primary NIW subject to captive reinsurance arrangements | | | 71.3 | % | | | 49.1 | % | | | 53.9 | % | | | 34.0 | % | | | 51.1 | % | | | 43.0 | % | | | 57.3 | % | | | 59.3 | % | | | 44.8 | % | | | 50.4 | % |
Percentage of primary IIF subject to captive reinsurance arrangements | | | 52.2 | % | | | 50.2 | % | | | 50.3 | % | | | 51.0 | % | | | 52.2 | % | | | 52.9 | % | | | 53.9 | % | | | 53.3 | % | | | 53.2 | % | | | 52.9 | % |
Percentage of primary RIF subject to captive reinsurance arrangements | | | 52.3 | % | | | 50.2 | % | | | 50.2 | % | | | 50.8 | % | | | 52.3 | % | | | 53.2 | % | | | 54.4 | % | | | 53.9 | % | | | 53.9 | % | | | 53.2 | % |
| | | | | | | | | | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | |
| | (Dollars in millions) | | | (Dollars in millions) | | |
Loss Reserve Analysis | | | | | | |
Beginning reserves for losses and LAE at January 1, | | $ | 366.2 | | | $ | 366.2 | | | $ | 366.2 | | | $ | 366.2 | | | | | | | $ | 345.5 | | | $ | 345.5 | | | $ | 345.5 | | | $ | 345.5 | | |
Reinsurance recoverables | | | (2.9 | ) | | | (2.9 | ) | | | (2.9 | ) | | | (2.9 | ) | | | | | | | (2.5 | ) | | | (2.5 | ) | | | (2.5 | ) | | | (2.5 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net balance at January 1, | | | 363.3 | | | | 363.3 | | | | 363.3 | | | | 363.3 | | | | | | | | 343.0 | | | | 343.0 | | | | 343.0 | | | | 343.0 | | |
Loss and LAE incurred (principally with respect to defaults occurring in ): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Current year | | | 894.4 | | | | 419.6 | | | | 181.5 | | | | 80.1 | | | | | | | | 260.8 | | | | 190 | | | | 123.4 | | | | 59.6 | | |
Prior years | | | 201.7 | | | | 155.9 | | | | 45.7 | | | | 12.7 | | | | | | | | 2.2 | | | | 1.0 | | | | (0.1 | ) | | | (0.5 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total incurred | | | 1,096.1 | | | | 575.5 | | | | 227.2 | | | | 92.8 | | | | | | | | 263.0 | | | | 191.0 | | | | 123.3 | | | | 59.1 | | |
Loss and LAE payments (principally with respect to defaults occurring in ): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Current year | | | (43.6 | ) | | | (12.3 | ) | | | (1.0 | ) | | | (0.1 | ) | | | | | | | (22.1 | ) | | | (7.2 | ) | | | (1.9 | ) | | | (0.7 | ) | |
Prior years | | | (318.6 | ) | | | (232.1 | ) | | | (147.5 | ) | | | (72.7 | ) | | | | | | | (220.6 | ) | | | (170.8 | ) | | | (111.1 | ) | | | (57.3 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total payments | | | (362.2 | ) | | | (244.4 | ) | | | (148.5 | ) | | | (72.8 | ) | | | | | | | (242.7 | ) | | | (178.0 | ) | | | (113.0 | ) | | | (58.0 | ) | |
Net ending balance | | | 1,097.2 | | | | 694.4 | | | | 442.0 | | | | 383.3 | | | | | | | | 363.3 | | | | 356.0 | | | | 353.3 | | | | 344.1 | | |
Reinsurance recoverables | | | 35.9 | | | | 3.8 | | | | 2.6 | | | | 2.7 | | | | | | | | 2.9 | | | | 2.8 | | | | 2.5 | | | | 2.3 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ending reserves for losses and LAE | | $ | 1,133.1 | | | $ | 698.2 | | | $ | 444.6 | | | $ | 386.0 | | | | | | | $ | 366.2 | | | $ | 358.8 | | | $ | 355.8 | | | $ | 346.4 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | December 31, 2007 | | | September 30, 2007 | | | June 30, 2007 | | | March 31, 2007 | | | December 31, 2006 | |
| | Loans in Default | | | Reserve for Losses and LAE | | | Loans in Default | | | Reserve for Losses and LAE | | | Loans in Default | | | Reserve for Losses and LAE | | | Loans in Default | | | Reserve for Losses and LAE | | | Loans in Default | | | Reserve for Losses and LAE | |
| | (Dollars in millions) | |
Primary insurance | | | 63,197 | | | $ | 1,054.3 | | | | 50,742 | | | $ | 651.2 | | | | 42,349 | | | $ | 402.8 | | | | 39,206 | | | $ | 348.7 | | | | 39,997 | | | $ | 332.9 | |
Pool insurance(8) | | | 29,143 | | | | 78.8 | | | | 23,789 | | | | 47.0 | | | | 20,238 | | | | 41.8 | | | | 18,500 | | | | 37.3 | | | | 15,898 | | | | 33.3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | 92,340 | | | $ | 1,133.1 | | | | 74,531 | | | $ | 698.2 | | | | 62,587 | | | $ | 444.6 | | | | 57,706 | | | $ | 386.0 | | | | 55,895 | | | $ | 366.2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Page 13
THE PMI GROUP, INC. AND SUBSIDIARIES
CMG MORTGAGE INSURANCE COMPANY STATISTICAL INFORMATION
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total (13) | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total (13) | |
| | (Dollars in millions, except claims paid and claim size) | |
Primary new insurance written | | $ | 1,389 | | | $ | 1,621 | | | $ | 1,566 | | | $ | 1,053 | | | $ | 5,629 | | | $ | 1,064 | | | $ | 1,238 | | | $ | 1,167 | | | $ | 891 | | | $ | 4,360 | |
Primary insurance in force | | $ | 18,942 | | | $ | 18,265 | | | $ | 17,415 | | | $ | 16,670 | | | $ | 18,942 | | | $ | 16,320 | | | $ | 16,063 | | | $ | 15,774 | | | $ | 15,476 | | | $ | 16,320 | |
Primary risk in force | | $ | 4,721 | | | $ | 4,532 | | | $ | 4,292 | | | $ | 4,085 | | | $ | 4,721 | | | $ | 3,984 | | | $ | 3,897 | | | $ | 3,791 | | | $ | 3,686 | | | $ | 3,984 | |
Policies in force | | | 126,342 | | | | 123,164 | | | | 118,933 | | | | 115,224 | | | | 126,342 | | | | 113,832 | | | | 113,004 | | | | 111,889 | | | | 110,879 | | | | 113,832 | |
Primary loans in default | | | 1,796 | | | | 1,516 | | | | 1,259 | | | | 1,130 | | | | 1,796 | | | | 1,192 | | | | 974 | | | | 965 | | | | 992 | | | | 1,192 | |
Primary default rate | | | 1.42 | % | | | 1.23 | % | | | 1.06 | % | | | 0.98 | % | | | 1.42 | % | | | 1.05 | % | | | 0.86 | % | | | 0.86 | % | | | 0.89 | % | | | 1.05 | % |
Persistency | | | 81.6 | % | | | 80.7 | % | | | 79.2 | % | | | 78.5 | % | | | 81.6 | % | | | 77.2 | % | | | 75.6 | % | | | 73.6 | % | | | 72.3 | % | | | 77.2 | % |
Primary claims paid (in thousands) | | $ | 3,726 | | | $ | 3,235 | | | $ | 2,392 | | | $ | 2,131 | | | $ | 11,484 | | | $ | 1,372 | | | $ | 2,268 | | | $ | 1,512 | | | $ | 1,200 | | | $ | 6,352 | |
Number of primary claims paid | | | 112 | | | | 116 | | | | 83 | | | | 75 | | | | 386 | | | | 54 | | | | 98 | | | | 68 | | | | 55 | | | | 275 | |
Average primary claim size (in thousands) | | $ | 33.3 | | | $ | 27.9 | | | $ | 28.8 | | | $ | 28.4 | | | $ | 29.8 | | | $ | 25.4 | | | $ | 23.1 | | | $ | 22.2 | | | $ | 21.8 | | | $ | 23.1 | |
Page 14
THE PMI GROUP, INC. AND SUBSIDIARIES
INTERNATIONAL OPERATIONS SEGMENT(2) RESULTS OF OPERATIONS AND BALANCE SHEETS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
Income Statement Components - Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total | |
| | (U.S. dollars in thousands) | | | (U.S. dollars in thousands) | |
Net premiums written | | $ | 62,817 | | | $ | 62,109 | | | $ | 65,376 | | | $ | 43,382 | | | $ | 233,684 | | | $ | 58,129 | | | $ | 51,942 | | | $ | 52,900 | | | $ | 38,421 | | | $ | 201,392 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 52,940 | | | $ | 50,839 | | | $ | 46,384 | | | $ | 42,382 | | | $ | 192,545 | | | $ | 41,219 | | | $ | 46,766 | | | $ | 45,801 | | | $ | 38,685 | | | $ | 172,471 | |
Net (loss) income from credit default swaps | | | (9,483 | ) | | | (8,371 | ) | | | 1,579 | | | | 1,828 | | | | (14,447 | ) | | | 2,687 | | | | 978 | | | | 2,128 | | | | 1,638 | | | | 7,431 | |
Net investment income | | | 23,905 | | | | 22,366 | | | | 20,581 | | | | 19,164 | | | | 86,016 | | | | 17,990 | | | | 17,442 | | | | 15,625 | | | | 14,785 | | | | 65,842 | |
Net realized investment gains (losses) | | | 183 | | | | (231 | ) | | | 53 | | | | 37 | | | | 42 | | | | (244 | ) | | | 3,452 | | | | 252 | | | | 142 | | | | 3,602 | |
Other income (loss) | | | 476 | | | | 577 | | | | (614 | ) | | | 389 | | | | 828 | | | | (189 | ) | | | (40 | ) | | | (1,910 | ) | | | 1,392 | | | | (747 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 68,021 | | | | 65,180 | | | | 67,983 | | | | 63,800 | | | | 264,984 | | | | 61,463 | | | | 68,598 | | | | 61,896 | | | | 56,642 | | | | 248,599 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 51,420 | | | | 24,530 | | | | 11,776 | | | | 16,536 | | | | 104,262 | | | | 18,492 | | | | 11,907 | | | | 7,708 | | | | 1,794 | | | | 39,901 | |
Amortization of deferred policy acquisition costs | | | 6,882 | | | | 4,939 | | | | 4,131 | | | | 3,761 | | | | 19,713 | | | | 3,748 | | | | 4,105 | | | | 4,826 | | | | 3,699 | | | | 16,378 | |
Other underwriting and operating expenses | | | 14,505 | | | | 14,740 | | | | 12,657 | | | | 10,573 | | | | 52,475 | | | | 11,064 | | | | 10,971 | | | | 10,267 | | | | 9,633 | | | | 41,935 | |
Interest expense | | | — | | | | — | | | | — | | | | 6 | | | | 6 | | | | 1 | | | | 124 | | | | — | | | | — | | | | 125 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 72,807 | | | | 44,209 | | | | 28,564 | | | | 30,876 | | | | 176,456 | | | | 33,305 | | | | 27,107 | | | | 22,801 | | | | 15,126 | | | | 98,339 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (4,786 | ) | | | 20,971 | | | | 39,419 | | | | 32,924 | | | | 88,528 | | | | 28,158 | | | | 41,491 | | | | 39,095 | | | | 41,516 | | | | 150,260 | |
Income tax expense | | | 5,326 | | | | 7,092 | | | | 11,322 | | | | 9,798 | | | | 33,538 | | | | 8,193 | | | | 12,048 | | | | 13,598 | | | | 12,908 | | | | 46,747 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (10,112 | ) | | $ | 13,879 | | | $ | 28,097 | | | $ | 23,126 | | | $ | 54,990 | | | $ | 19,965 | | | $ | 29,443 | | | $ | 25,497 | | | $ | 28,608 | | | $ | 103,513 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss ratio(7) | | | 97.1 | % | | | 48.3 | % | | | 25.4 | % | | | 39.0 | % | | | 54.1 | % | | | 44.9 | % | | | 25.5 | % | | | 16.8 | % | | | 4.6 | % | | | 23.1 | % |
Expense ratio(7) | | | 34.0 | % | | | 31.7 | % | | | 25.7 | % | | | 33.0 | % | | | 30.9 | % | | | 25.5 | % | | | 29.0 | % | | | 28.5 | % | | | 34.7 | % | | | 29.0 | % |
Combined ratio | | | 131.1 | % | | | 80.0 | % | | | 51.1 | % | | | 72.0 | % | | | 85.0 | % | | | 70.4 | % | | | 54.5 | % | | | 45.3 | % | | | 39.3 | % | | | 52.1 | % |
| | | | | | | | | | |
Balance Sheet Components - As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | | |
| | (U.S. dollars in thousands) | | | | | | (U.S. dollars in thousands) | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 1,514,198 | | | $ | 1,522,699 | | | $ | 1,318,542 | | | $ | 1,219,205 | | | | | | | $ | 1,129,580 | | | $ | 1,082,140 | | | $ | 1,000,338 | | | $ | 892,251 | | |
Equity securities: common | | | 42,689 | | | | 44,650 | | | | 42,026 | | | | 37,417 | | | | | | | | 34,438 | | | | 29,917 | | | | 29,408 | | | | 29,190 | | |
Short term investments | | | 641 | | | | 1,413 | | | | 2,052 | | | | 3,570 | | | | | | | | 3,952 | | | | 6,064 | | | | 8,401 | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investments | | $ | 1,557,528 | | | $ | 1,568,762 | | | $ | 1,362,620 | | | $ | 1,260,192 | | | | | | | $ | 1,167,970 | | | $ | 1,118,121 | | | $ | 1,038,147 | | | $ | 921,441 | | |
Cash and cash equivalents | | | 135,702 | | | | 112,847 | | | | 216,869 | | | | 138,444 | | | | | | | | 181,099 | | | | 129,023 | | | | 118,307 | | | | 172,875 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 6,549 | | | | 6,400 | | | | 5,508 | | | | 4,149 | | | | | | | | 4,002 | | | | 3,624 | | | | 3,513 | | | | 2,646 | | |
Other assets | | | 100,908 | | | | 97,330 | | | | 88,571 | | | | 101,538 | | | | | | | | 78,927 | | | | 80,875 | | | | 70,609 | | | | 67,902 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 1,800,687 | | | $ | 1,785,339 | | | $ | 1,673,568 | | | $ | 1,504,323 | | | | | | | $ | 1,431,998 | | | $ | 1,331,643 | | | $ | 1,230,576 | | | $ | 1,164,864 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 106,869 | | | $ | 72,148 | | | $ | 62,357 | | | $ | 56,984 | | | | | | | $ | 48,554 | | | $ | 35,426 | | | $ | 28,773 | | | $ | 23,476 | | |
Unearned premiums | | | 497,309 | | | | 493,486 | | | | 461,464 | | | | 422,733 | | | | | | | | 412,196 | | | | 375,091 | | | | 343,136 | | | | 323,431 | | |
Other liabilities | | | 75,416 | | | | 65,947 | | | | 62,844 | | | | 69,810 | | | | | | | | 58,010 | | | | 66,628 | | | | 56,691 | | | | 77,128 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 679,594 | | | | 631,581 | | | | 586,665 | | | | 549,527 | | | | | | | | 518,760 | | | | 477,145 | | | | 428,600 | | | | 424,035 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital and retained earnings | | | 866,585 | | | | 876,693 | | | | 862,812 | | | | 760,243 | | | | | | | | 737,118 | | | | 717,102 | | | | 670,446 | | | | 628,613 | | |
Accumulated other comprehensive income, net of deferred taxes | | | 254,508 | | | | 277,065 | | | | 224,091 | | | | 194,553 | | | | | | | | 176,120 | | | | 137,396 | | | | 131,530 | | | | 112,216 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s equity | | | 1,121,093 | | | | 1,153,758 | | | | 1,086,903 | | | | 954,796 | | | | | | | | 913,238 | | | | 854,498 | | | | 801,976 | | | | 740,829 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity | | $ | 1,800,687 | | | $ | 1,785,339 | | | $ | 1,673,568 | | | $ | 1,504,323 | | | | | | | $ | 1,431,998 | | | $ | 1,331,643 | | | $ | 1,230,576 | | | $ | 1,164,864 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Page 15
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI AUSTRALIA QUARTERLY FINANCIAL INFORMATION
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
Income Statement Components -Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total | |
| | (U.S. dollars in thousands, unless otherwise noted) | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums written | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 59,041 | | | $ | 56,816 | | | $ | 60,572 | | | $ | 39,525 | | | $ | 215,954 | | | $ | 54,793 | | | $ | 49,008 | | | $ | 50,013 | | | $ | 36,267 | | | $ | 190,081 | |
Ceded premiums | | | (652 | ) | | | (826 | ) | | | (688 | ) | | | (623 | ) | | | (2,789 | ) | | | (887 | ) | | | (873 | ) | | | (713 | ) | | | (1,062 | ) | | | (3,535 | ) |
Refunded premiums | | | (873 | ) | | | (770 | ) | | | (773 | ) | | | (668 | ) | | | (3,084 | ) | | | (668 | ) | | | (663 | ) | | | (696 | ) | | | (566 | ) | | | (2,593 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums written | | | 57,516 | | | | 55,220 | | | | 59,111 | | | | 38,234 | | | | 210,081 | | | | 53,238 | | | | 47,472 | | | | 48,604 | | | | 34,639 | | | | 183,953 | |
Change in unearned premiums | | | (11,103 | ) | | | (10,996 | ) | | | (19,006 | ) | | | (1,870 | ) | | | (42,975 | ) | | | (19,071 | ) | | | (7,623 | ) | | | (9,493 | ) | | | (2,373 | ) | | | (38,560 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | | 46,413 | | | | 44,224 | | | | 40,105 | | | | 36,364 | | | | 167,106 | | | | 34,167 | | | | 39,849 | | | | 39,111 | | | | 32,266 | | | | 145,393 | |
Net investment income | | | 20,325 | | | | 18,779 | | | | 17,251 | | | | 16,146 | | | | 72,501 | | | | 15,001 | | | | 14,298 | | | | 13,088 | | | | 12,354 | | | | 54,741 | |
Net realized investment gains (losses) | | | 160 | | | | 36 | | | | 68 | | | | (75 | ) | | | 189 | | | | (291 | ) | | | 2,801 | | | | (194 | ) | | | 122 | | | | 2,438 | |
Other income (loss) | | | 574 | | | | 487 | | | | (599 | ) | | | 488 | | | | 950 | | | | (189 | ) | | | (38 | ) | | | (1,778 | ) | | | 1,446 | | | | (559 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 67,472 | | | | 63,526 | | | | 56,825 | | | | 52,923 | | | | 240,746 | | | | 48,688 | | | | 56,910 | | | | 50,227 | | | | 46,188 | | | | 202,013 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 29,350 | | | | 21,849 | | | | 10,144 | | | | 16,157 | | | | 77,500 | | | | 17,809 | | | | 10,526 | | | | 6,751 | | | | 1,224 | | | | 36,310 | |
Amortization of deferred policy acquisition costs | | | 4,054 | | | | 4,424 | | | | 3,655 | | | | 3,363 | | | | 15,496 | | | | 3,318 | | | | 3,721 | | | | 4,483 | | | | 3,404 | | | | 14,926 | |
Other underwriting and operating expenses | | | 8,223 | | | | 9,235 | | | | 8,212 | | | | 7,460 | | | | 33,130 | | | | 8,048 | | | | 7,433 | | | | 7,302 | | | | 7,036 | | | | 29,819 | |
Interest expense | | | — | | | | — | | | | — | | | | 6 | | | | 6 | | | | 1 | | | | 124 | | | | — | | | | — | | | | 125 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 41,627 | | | | 35,508 | | | | 22,011 | | | | 26,986 | | | | 126,132 | | | | 29,176 | | | | 21,804 | | | | 18,536 | | | | 11,664 | | | | 81,180 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income before income taxes | | | 25,845 | | | | 28,018 | | | | 34,814 | | | | 25,937 | | | | 114,614 | | | | 19,512 | | | | 35,106 | | | | 31,691 | | | | 34,524 | | | | 120,833 | |
Income tax expense | | | 8,030 | | | | 8,304 | | | | 10,385 | | | | 7,890 | | | | 34,609 | | | | 5,682 | | | | 10,374 | | | | 9,768 | | | | 10,470 | | | | 36,294 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net income | | $ | 17,815 | | | $ | 19,714 | | | $ | 24,429 | | | $ | 18,047 | | | $ | 80,005 | | | $ | 13,830 | | | $ | 24,732 | | | $ | 21,923 | | | $ | 24,054 | | | $ | 84,539 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net income (AUS $ in thousands) | | $ | 19,867 | | | $ | 23,225 | | | $ | 29,320 | | | $ | 22,953 | | | $ | 95,365 | | | $ | 18,073 | | | $ | 32,688 | | | $ | 29,332 | | | $ | 32,546 | | | $ | 112,639 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss Ratio(7) | | | 63.2 | % | | | 49.4 | % | | | 25.2 | % | | | 44.4 | % | | | 46.4 | % | | | 52.1 | % | | | 26.4 | % | | | 17.3 | % | | | 3.8 | % | | | 25.0 | % |
Expense Ratio(7) | | | 21.3 | % | | | 24.7 | % | | | 20.1 | % | | | 28.3 | % | | | 23.1 | % | | | 21.4 | % | | | 23.6 | % | | | 24.2 | % | | | 30.1 | % | | | 24.3 | % |
Combined Ratio | | | 84.5 | % | | | 74.1 | % | | | 45.3 | % | | | 72.7 | % | | | 69.5 | % | | | 73.5 | % | | | 50.0 | % | | | 41.5 | % | | | 33.9 | % | | | 49.3 | % |
| | | | | | | | | | |
Balance Sheet Components -As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | | |
| | (U.S. dollars in thousands) | | | | | | (U.S. dollars in thousands) | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - available - for - sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 1,182,179 | | | $ | 1,194,701 | | | $ | 1,064,267 | | | $ | 966,509 | | | | | | | $ | 882,976 | | | $ | 847,500 | | | $ | 809,802 | | | $ | 701,519 | | |
Equity securities: common | | | 42,685 | | | | 44,646 | | | | 42,022 | | | | 37,413 | | | | | | | | 34,435 | | | | 29,913 | | | | 29,405 | | | | 29,187 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investments | | $ | 1,224,864 | | | $ | 1,239,347 | | | $ | 1,106,289 | | | $ | 1,003,922 | | | | | | | $ | 917,411 | | | $ | 877,413 | | | $ | 839,207 | | | $ | 730,706 | | |
Cash and cash equivalents | | | 69,824 | | | | 45,737 | | | | 100,268 | | | | 108,573 | | | | | | | | 153,897 | | | | 103,035 | | | | 94,298 | | | | 142,694 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 4,325 | | | | 4,141 | | | | 3,725 | | | | 2,653 | | | | | | | | 2,454 | | | | 2,240 | | | | 2,293 | | | | 2,350 | | |
Other assets | | | 79,745 | | | | 77,790 | | | | 71,988 | | | | 78,674 | | | | | | | | 59,462 | | | | 58,612 | | | | 56,444 | | | | 57,685 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 1,378,758 | | | $ | 1,367,015 | | | $ | 1,282,270 | | | $ | 1,193,822 | | | | | | | $ | 1,133,224 | | | $ | 1,041,300 | | | $ | 992,242 | | | $ | 933,435 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 65,060 | | | $ | 51,284 | | | $ | 44,023 | | | $ | 39,167 | | | | | | | $ | 30,424 | | | $ | 18,039 | | | $ | 11,988 | | | $ | 8,230 | | |
Unearned premiums | | | 452,743 | | | | 448,166 | | | | 417,721 | | | | 379,252 | | | | | | | | 367,987 | | | | 329,631 | | | | 320,564 | | | | 300,313 | | |
Other liabilities | | | 27,159 | | | | 24,857 | | | | 32,385 | | | | 39,844 | | | | | | | | 36,450 | | | | 41,005 | | | | 35,346 | | | | 35,368 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 544,962 | | | | 524,307 | | | | 494,129 | | | | 458,263 | | | | | | | | 434,861 | | | | 388,675 | | | | 367,898 | | | | 343,911 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid - in capital and retained earnings | | | 645,359 | | | | 627,544 | | | | 607,829 | | | | 583,401 | | | | | | | | 565,353 | | | | 551,523 | | | | 526,791 | | | | 504,868 | | |
Accumulated other comprehensive income, net of deferred taxes | | | 188,437 | | | | 215,164 | | | | 180,312 | | | | 152,158 | | | | | | | | 133,010 | | | | 101,102 | | | | 97,553 | | | | 84,656 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s equity | | | 833,796 | | | | 842,708 | | | | 788,141 | | | | 735,559 | | | | | | | | 698,363 | | | | 652,625 | | | | 624,344 | | | | 589,524 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity | | $ | 1,378,758 | | | $ | 1,367,015 | | | $ | 1,282,270 | | | $ | 1,193,822 | | | | | | | $ | 1,133,224 | | | $ | 1,041,300 | | | $ | 992,242 | | | $ | 933,435 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI AUSTRALIA STATISTICAL INFORMATION
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total (13) | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total (13) | |
| | (U.S. dollars in millions, except loan size, claims paid and claim size) | |
New insurance written | | | | |
Flow insurance written | | $ | 6,357 | | | $ | 6,142 | | | $ | 5,959 | | | $ | 4,300 | | | $ | 22,758 | | | $ | 5,836 | | | $ | 5,376 | | | $ | 5,062 | | | $ | 4,152 | | | $ | 20,426 | |
RMBS insurance written | | | 1,714 | | | | 3,594 | | | | 6,151 | | | | 3,284 | | | | 14,743 | | | | 3,078 | | | | 3,899 | | | | 7,744 | | | | 5,291 | | | | 20,012 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
New insurance written | | $ | 8,071 | | | $ | 9,736 | | | $ | 12,110 | | | $ | 7,584 | | | $ | 37,501 | | | $ | 8,914 | | | $ | 9,275 | | | $ | 12,806 | | | $ | 9,443 | | | $ | 40,438 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Insurance in force | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | $ | 109,943 | | | $ | 112,150 | | | $ | 107,229 | | | $ | 98,630 | | | $ | 109,943 | | | $ | 94,529 | | | $ | 86,026 | | | $ | 86,215 | | | $ | 81,503 | | | $ | 94,529 | |
RMBS | | | 65,586 | | | | 70,647 | | | | 65,632 | | | | 58,068 | | | | 65,586 | | | | 54,236 | | | | 48,975 | | | | 49,314 | | | | 41,547 | | | | 54,236 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 175,529 | | | $ | 182,797 | | | $ | 172,861 | | | $ | 156,698 | | | $ | 175,529 | | | $ | 148,765 | | | $ | 135,001 | | | $ | 135,529 | | | $ | 123,050 | | | $ | 148,765 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Risk in force | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | $ | 96,040 | | | $ | 97,858 | | | $ | 92,830 | | | $ | 85,349 | | | $ | 96,040 | | | $ | 81,490 | | | $ | 74,328 | | | $ | 74,956 | | | $ | 70,773 | | | $ | 81,490 | |
RMBS | | | 65,364 | | | | 70,424 | | | | 65,405 | | | | 57,858 | | | | 65,364 | | | | 54,051 | | | | 48,831 | | | | 49,183 | | | | 41,426 | | | | 54,051 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 161,404 | | | $ | 168,282 | | | $ | 158,235 | | | $ | 143,207 | | | $ | 161,404 | | | $ | 135,541 | | | $ | 123,159 | | | $ | 124,139 | | | $ | 112,199 | | | $ | 135,541 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average loan size(U.S. $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | $ | 172.3 | | | $ | 170.7 | | | $ | 161.5 | | | $ | 150.7 | | | $ | 172.3 | | | $ | 145.6 | | | $ | 134.8 | | | $ | 128.2 | | | $ | 122.5 | | | $ | 145.6 | |
RMBS | | $ | 158.5 | | | $ | 158.4 | | | $ | 149.5 | | | $ | 139.4 | | | $ | 158.5 | | | $ | 133.7 | | | $ | 125.9 | | | $ | 122.6 | | | $ | 115.1 | | | $ | 133.7 | |
Total | | $ | 166.9 | | | $ | 165.7 | | | $ | 156.7 | | | $ | 146.3 | | | $ | 166.9 | | | $ | 141.0 | | | $ | 131.5 | | | $ | 126.1 | | | $ | 119.9 | | | $ | 141.0 | |
Loss severity (quarterly) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Flow | | | 21.7 | % | | | 22.4 | % | | | 21.4 | % | | | 22.1 | % | | | 22.0 | % | | | 20.5 | % | | | 21.9 | % | | | 18.2 | % | | | 15.8 | % | | | 20.5 | % |
RMBS | | | 18.9 | % | | | 20.7 | % | | | 16.6 | % | | | 16.6 | % | | | 19.0 | % | | | 15.5 | % | | | 21.7 | % | | | 1.6 | % | | | 3.9 | % | | | 15.5 | % |
Total | | | 21.6 | % | | | 22.2 | % | | | 20.8 | % | | | 21.7 | % | | | 21.7 | % | | | 19.9 | % | | | 21.9 | % | | | 18.2 | % | | | 15.3 | % | | | 19.9 | % |
Primary loans, defaults and default rates | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Policies in force - Flow | | | 638,135 | | | | 656,969 | | | | 664,099 | | | | 654,296 | | | | 638,135 | | | | 649,261 | | | | 638,139 | | | | 672,347 | | | | 665,336 | | | | 649,261 | |
Policies in force - RMBS | | | 413,718 | | | | 445,912 | | | | 439,106 | | | | 416,678 | | | | 413,718 | | | | 405,796 | | | | 388,851 | | | | 402,271 | | | | 360,924 | | | | 405,796 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Policies in force - Total | | | 1,051,853 | | | | 1,102,881 | | | | 1,103,205 | | | | 1,070,974 | | | | 1,051,853 | | | | 1,055,057 | | | | 1,026,990 | | | | 1,074,618 | | | | 1,026,260 | | | | 1,055,057 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loans in default - Flow | | | 2,139 | | | | 2,426 | | | | 2,712 | | | | 2,642 | | | | 2,139 | | | | 2,021 | | | | 1,826 | | | | 1,478 | | | | 1,314 | | | | 2,021 | |
Loans in default - RMBS | | | 527 | | | | 493 | | | | 444 | | | | 421 | | | | 527 | | | | 260 | | | | 273 | | | | 253 | | | | 206 | | | | 260 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loans in default - Total | | | 2,666 | | | | 2,919 | | | | 3,156 | | | | 3,063 | | | | 2,666 | | | | 2,281 | | | | 2,099 | | | | 1,731 | | | | 1,520 | | | | 2,281 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Default rate - Flow | | | 0.34 | % | | | 0.37 | % | | | 0.41 | % | | | 0.40 | % | | | 0.34 | % | | | 0.31 | % | | | 0.29 | % | | | 0.22 | % | | | 0.20 | % | | | 0.31 | % |
Default rate - RMBS | | | 0.13 | % | | | 0.11 | % | | | 0.10 | % | | | 0.10 | % | | | 0.13 | % | | | 0.06 | % | | | 0.07 | % | | | 0.06 | % | | | 0.06 | % | | | 0.06 | % |
Default rate - Total | | | 0.25 | % | | | 0.26 | % | | | 0.29 | % | | | 0.29 | % | | | 0.25 | % | | | 0.22 | % | | | 0.20 | % | | | 0.16 | % | | | 0.15 | % | | | 0.22 | % |
Net claims paid(U.S. $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net claims paid - Flow | | $ | 14,125 | | | $ | 14,629 | | | $ | 6,530 | | | $ | 7,923 | | | $ | 43,207 | | | $ | 5,999 | | | $ | 4,123 | | | $ | 3,179 | | | $ | 1,211 | | | $ | 14,512 | |
Net claims paid - RMBS | | | 777 | | | | 2,167 | | | | 787 | | | | 466 | | | | 4,197 | | | | 585 | | | | 411 | | | | 2 | | | | 13 | | | | 1,011 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net claims paid - Total | | $ | 14,902 | | | $ | 16,796 | | | $ | 7,317 | | | $ | 8,389 | | | $ | 47,404 | | | $ | 6,584 | | | $ | 4,534 | | | $ | 3,181 | | | $ | 1,224 | | | $ | 15,523 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Number of claims paid - Flow | | | 208 | | | | 222 | | | | 117 | | | | 115 | | | | 662 | | | | 107 | | | | 72 | | | | 72 | | | | 30 | | | | 281 | |
Number of claims paid - RMBS | | | 14 | | | | 25 | | | | 13 | | | | 11 | | | | 63 | | | | 11 | | | | 8 | | | | 1 | | | | 1 | | | | 21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Number of claims paid - Total | | | 222 | | | | 247 | | | | 130 | | | | 126 | | | | 725 | | | | 118 | | | | 80 | | | | 73 | | | | 31 | | | | 302 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average claim size- Flow(U.S. $ in thousands) | | $ | 67.9 | | | $ | 65.9 | | | $ | 55.8 | | | $ | 68.9 | | | $ | 65.3 | | | $ | 56.1 | | | $ | 57.3 | | | $ | 44.2 | | | $ | 40.4 | | | $ | 51.6 | |
Average claim size- RMBS | | $ | 55.5 | | | $ | 86.7 | | | $ | 60.5 | | | $ | 42.4 | | | $ | 66.6 | | | $ | 53.2 | | | $ | 51.4 | | | $ | 1.5 | | | $ | 13.6 | | | $ | 48.1 | |
Average claim size- Total | | $ | 67.1 | | | $ | 68.0 | | | $ | 56.3 | | | $ | 66.6 | | | $ | 65.4 | | | $ | 55.8 | | | $ | 56.7 | | | $ | 43.6 | | | $ | 39.5 | | | $ | 51.4 | |
Page 17
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI EUROPE QUARTERLY FINANCIAL INFORMATION
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
Income Statement Components - Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total | |
| | (U.S. dollars in thousands, unless otherwise noted) | |
Net premiums written | | $ | 2,802 | | | $ | 4,420 | | | $ | 3,497 | | | $ | 3,404 | | | $ | 14,123 | | | $ | 3,213 | | | $ | 2,948 | | | $ | 2,109 | | | $ | 2,754 | | | $ | 11,024 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 3,704 | | | $ | 3,644 | | | $ | 3,519 | | | $ | 3,579 | | | $ | 14,446 | | | $ | 4,212 | | | $ | 4,152 | | | $ | 3,906 | | | $ | 3,888 | | | $ | 16,158 | |
(Loss) income from credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Realized gains from credit default swaps | | | (1,087 | ) | | | 176 | | | | 1,579 | | | | 1,828 | | | | 2,496 | | | | 2,687 | | | | 978 | | | | 2,128 | | | | 1,638 | | | | 7,431 | |
Unrealized loss from credit default swaps | | | (8,396 | ) | | | (8,547 | ) | | | — | | | | — | | | | (16,943 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (loss) income from credit default swaps | | | (9,483 | ) | | | (8,371 | ) | | | 1,579 | | | | 1,828 | | | | (14,447 | ) | | | 2,687 | | | | 978 | | | | 2,128 | | | | 1,638 | | | | 7,431 | |
Net investment income | | | 1,919 | | | | 2,080 | | | | 2,225 | | | | 2,408 | | | | 8,632 | | | | 2,326 | | | | 2,410 | | | | 2,260 | | | | 2,284 | | | | 9,280 | |
Net realized investment gains (losses) | | | 6 | | | | (267 | ) | | | (15 | ) | | | 112 | | | | (164 | ) | | | 47 | | | | 650 | | | | 446 | | | | 21 | | | | 1,164 | |
Other loss | | | — | | | | (8 | ) | | | (26 | ) | | | (100 | ) | | | (134 | ) | | | — | | | | (2 | ) | | | (52 | ) | | | (53 | ) | | | (107 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | (3,854 | ) | | | (2,922 | ) | | | 7,282 | | | | 7,827 | | | | 8,333 | | | | 9,272 | | | | 8,188 | | | | 8,688 | | | | 7,778 | | | | 33,926 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 22,111 | | | | 2,719 | | | | 1,611 | | | | 364 | | | | 26,805 | | | | 903 | | | | 1,581 | | | | 205 | | | | 526 | | | | 3,215 | |
Amortization of deferred policy acquisition costs | | | 2,617 | | | | 341 | | | | 284 | | | | 227 | | | | 3,469 | | | | 274 | | | | 234 | | | | 194 | | | | 153 | | | | 855 | |
Other underwriting and operating expenses | | | 4,283 | | | | 3,880 | | | | 3,108 | | | | 2,769 | | | | 14,040 | | | | 2,701 | | | | 3,316 | | | | 2,907 | | | | 2,562 | | | | 11,486 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 29,011 | | | | 6,940 | | | | 5,003 | | | | 3,360 | | | | 44,314 | | | | 3,878 | | | | 5,131 | | | | 3,306 | | | | 3,241 | | | | 15,556 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (32,865 | ) | | | (9,862 | ) | | | 2,279 | | | | 4,467 | | | | (35,981 | ) | | | 5,394 | | | | 3,057 | | | | 5,382 | | | | 4,537 | | | | 18,370 | |
Income tax (benefit) expense | | | (3,281 | ) | | | (1,417 | ) | | | 624 | | | | 1,488 | | | | (2,586 | ) | | | 1,888 | | | | 1,070 | | | | 1,884 | | | | 1,588 | | | | 6,430 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (29,584 | ) | | $ | (8,445 | ) | | $ | 1,655 | | | $ | 2,979 | | | $ | (33,395 | ) | | $ | 3,506 | | | $ | 1,987 | | | $ | 3,498 | | | $ | 2,949 | | | $ | 11,940 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (loss) income(Euros in thousands) | | | (€21,715) | | | | (€6,144) | | | € | 1,227 | | | € | 2,272 | | | | (€24,360) | | | € | 2,718 | | | € | 1,559 | | | € | 2,780 | | | € | 2,451 | | | € | 9,508 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss Ratio(7) | | | 596.9 | % | | | 74.6 | % | | | 45.8 | % | | | 10.2 | % | | | 185.6 | % | | | 21.4 | % | | | 38.1 | % | | | 5.2 | % | | | 13.5 | % | | | 19.9 | % |
Expense Ratio(7) | | | 246.3 | % | | | 95.5 | % | | | 97.0 | % | | | 88.0 | % | | | 124.0 | % | | | 92.6 | % | | | 120.4 | % | | | 147.0 | % | | | 98.6 | % | | | 111.9 | % |
Combined Ratio | | | 843.2 | % | | | 170.1 | % | | | 142.8 | % | | | 98.2 | % | | | 309.6 | % | | | 114.0 | % | | | 158.5 | % | | | 152.2 | % | | | 112.1 | % | | | 131.8 | % |
| | | | | | | | | | |
Balance Sheet Components - As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | | |
| | (U.S. dollars in thousands) | | | | | | (U.S. dollars in thousands) | | |
Assets | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 200,825 | | | $ | 203,992 | | | $ | 197,165 | | | $ | 198,445 | | | | | | | $ | 191,691 | | | $ | 181,996 | | | $ | 186,602 | | | $ | 190,735 | | |
Cash and cash equivalents | | | 53,335 | | | | 47,715 | | | | 36,316 | | | | 23,662 | | | | | | | | 23,648 | | | | 24,410 | | | | 18,580 | | | | 30,182 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 1,323 | | | | 1,317 | | | | 1,293 | | | | 1,344 | | | | | | | | 1,407 | | | | 1,384 | | | | 1,220 | | | | 296 | | |
Other assets | | | 16,688 | | | | 16,405 | | | | 14,609 | | | | 19,534 | | | | | | | | 17,078 | | | | 19,093 | | | | 14,037 | | | | 10,215 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 272,171 | | | $ | 269,429 | | | $ | 249,383 | | | $ | 242,985 | | | | | | | $ | 233,824 | | | $ | 226,883 | | | $ | 220,439 | | | $ | 231,428 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 41,579 | | | $ | 20,634 | | | $ | 18,083 | | | $ | 17,587 | | | | | | | $ | 17,907 | | | $ | 16,907 | | | $ | 16,015 | | | $ | 15,246 | | |
Unearned premiums | | | 22,983 | | | | 23,347 | | | | 21,390 | | | | 21,117 | | | | | | | | 21,043 | | | | 21,169 | | | | 22,572 | | | | 23,118 | | |
Other liabilities | | | 45,534 | | | | 36,772 | | | | 24,154 | | | | 26,697 | | | | | | | | 20,394 | | | | 24,460 | | | | 20,702 | | | | 41,760 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 110,096 | | | | 80,753 | | | | 63,627 | | | | 65,401 | | | | | | | | 59,344 | | | | 62,536 | | | | 59,289 | | | | 80,124 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital and retained earnings | | | 107,341 | | | | 136,926 | | | | 145,371 | | | | 135,715 | | | | | | | | 132,736 | | | | 129,230 | | | | 127,243 | | | | 123,745 | | |
Accumulated other comprehensive income, net of deferred taxes | | | 54,734 | | | | 51,750 | | | | 40,385 | | | | 41,869 | | | | | | | | 41,744 | | | | 35,117 | | | | 33,907 | | | | 27,559 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s equity | | | 162,075 | | | | 188,676 | | | | 185,756 | | | | 177,584 | | | | | | | | 174,480 | | | | 164,347 | | | | 161,150 | | | | 151,304 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity | | $ | 272,171 | | | $ | 269,429 | | | $ | 249,383 | | | $ | 242,985 | | | | | | | $ | 233,824 | | | $ | 226,883 | | | $ | 220,439 | | | $ | 231,428 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Page 18
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI ASIA QUARTERLY FINANCIAL INFORMATION
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
Income Statement Components - Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 (12) | | | 3/31/2006 (12) | | | Total | |
| | (U.S. dollars in thousands, unless otherwise noted) | |
Reinsurance premiums written | | $ | 2,499 | | | $ | 2,470 | | | $ | 2,768 | | | $ | 1,743 | | | $ | 9,480 | | | $ | 1,678 | | | $ | 1,522 | | | $ | 2,187 | | | $ | 1,027 | | | $ | 6,414 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 2,823 | | | $ | 2,971 | | | $ | 2,760 | | | $ | 2,439 | | | $ | 10,993 | | | $ | 2,840 | | | $ | 2,764 | | | $ | 2,784 | | | $ | 2,532 | | | $ | 10,920 | |
Net investment income and other loss | | | 740 | | | | 720 | | | | 606 | | | | 610 | | | | 2,676 | | | | 663 | | | | 732 | | | | 197 | | | | 147 | | | | 1,739 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 3,563 | | | | 3,691 | | | | 3,366 | | | | 3,049 | | | | 13,669 | | | | 3,503 | | | | 3,496 | | | | 2,981 | | | | 2,679 | | | | 12,659 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses (reversals) | | | (41 | ) | | | (38 | ) | | | 21 | | | | 15 | | | | (43 | ) | | | (218 | ) | | | (200 | ) | | | 752 | | | | 42 | | | | 376 | |
Amortization of deferred policy acquisition costs | | | 211 | | | | 174 | | | | 192 | | | | 171 | | | | 748 | | | | 158 | | | | 149 | | | | 150 | | | | 140 | | | | 597 | |
Other underwriting and operating expenses | | | 385 | | | | 288 | | | | 335 | | | | 233 | | | | 1,241 | | | | 272 | | | | 220 | | | | 58 | | | | 41 | | | | 591 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 555 | | | | 424 | | | | 548 | | | | 419 | | | | 1,946 | | | | 212 | | | | 169 | | | | 960 | | | | 223 | | | | 1,564 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income before income taxes | | | 3,008 | | | | 3,267 | | | | 2,818 | | | | 2,630 | | | | 11,723 | | | | 3,291 | | | | 3,327 | | | | 2,021 | | | | 2,456 | | | | 11,095 | |
Income tax expense | | | 152 | | | | 355 | | | | 491 | | | | 460 | | | | 1,458 | | | | 637 | | | | 604 | | | | 1,946 | | | | 850 | | | | 4,037 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net income | | $ | 2,856 | | | $ | 2,912 | | | $ | 2,327 | | | $ | 2,170 | | | $ | 10,265 | | | $ | 2,654 | | | $ | 2,723 | | | $ | 75 | | | $ | 1,606 | | | $ | 7,058 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net income(HK$ in thousands) | | $ | 22,210 | | | $ | 22,728 | | | $ | 18,189 | | | $ | 16,938 | | | $ | 80,065 | | | $ | 20,654 | | | $ | 21,178 | | | $ | 582 | | | $ | 12,458 | | | $ | 54,872 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss Ratio(7) | | | (1.5 | )% | | | (1.3 | )% | | | 0.8 | % | | | 0.6 | % | | | (0.4 | )% | | | (7.7 | )% | | | (7.2 | )% | | | 27.0 | % | | | 1.7 | % | | | 3.4 | % |
Expense Ratio(7) | | | 23.8 | % | | | 18.7 | % | | | 19.0 | % | | | 23.2 | % | | | 21.0 | % | | | 25.6 | % | | | 24.2 | % | | | 9.5 | % | | | 17.6 | % | | | 18.5 | % |
Combined Ratio | | | 22.3 | % | | | 17.4 | % | | | 19.8 | % | | | 23.8 | % | | | 20.6 | % | | | 17.9 | % | | | 17.0 | % | | | 36.5 | % | | | 19.3 | % | | | 21.9 | % |
| | | | | | | | | |
Balance Sheet Components -As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | | |
| | (U.S. dollars in thousands) | | | | | | (U.S. dollars in thousands) | | |
Assets | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 66,366 | | | $ | 64,195 | | | $ | 57,114 | | | $ | 54,255 | | | | | | | $ | 54,916 | | | $ | 52,648 | | | $ | 3,937 | | |
Short term investments | | | 641 | | | | 1,413 | | | | 2,052 | | | | 3,570 | | | | | | | | 3,952 | | | | 6,064 | | | | 8,400 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investments | | $ | 67,007 | | | $ | 65,608 | | | $ | 59,166 | | | $ | 57,825 | | | | | | | $ | 58,868 | | | $ | 58,712 | | | $ | 12,337 | | |
Cash and cash equivalents | | | 3,580 | | | | 3,274 | | | | 9,748 | | | | 6,209 | | | | | | | | 3,554 | | | | 1,578 | | | | 5,429 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 129 | | | | 159 | | | | 167 | | | | 152 | | | | | | | | 140 | | | | — | | | | — | | |
Other assets | | | 4,081 | | | | 1,772 | | | | 1,716 | | | | 3,330 | | | | | | | | 2,372 | | | | 3,170 | | | | 130 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 74,797 | | | $ | 70,813 | | | $ | 70,797 | | | $ | 67,516 | | | | | | | $ | 64,934 | | | $ | 63,460 | | | $ | 17,896 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 230 | | | $ | 230 | | | $ | 251 | | | $ | 230 | | | | | | | $ | 223 | | | $ | 480 | | | $ | 771 | | |
Unearned premiums | | | 21,583 | | | | 21,973 | | | | 22,353 | | | | 22,364 | | | | | | | | 23,167 | | | | 24,291 | | | | — | | |
Other liabilities | | | 1,605 | | | | 1,654 | | | | 5,155 | | | | 3,173 | | | | | | | | 1,126 | | | | 1,163 | | | | 642 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 23,418 | | | | 23,857 | | | | 27,759 | | | | 25,767 | | | | | | | | 24,516 | | | | 25,934 | | | | 1,413 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital and retained earnings | | | 49,318 | | | | 46,462 | | | | 43,549 | | | | 41,222 | | | | | | | | 39,053 | | | | 36,349 | | | | 16,412 | | |
Accumulated other comprehensive income (loss), net of deferred taxes | | | 2,061 | | | | 494 | | | | (511 | ) | | | 527 | | | | | | | | 1,365 | | | | 1,177 | | | | 71 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s equity | | | 51,379 | | | | 46,956 | | | | 43,038 | | | | 41,749 | | | | | | | | 40,418 | | | | 37,526 | | | | 16,483 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity | | $ | 74,797 | | | $ | 70,813 | | | $ | 70,797 | | | $ | 67,516 | | | | | | | $ | 64,934 | | | $ | 63,460 | | | $ | 17,896 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI EUROPE STATISTICAL INFORMATION
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total (13) | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total (13) | |
| | (U.S. dollars in millions, except claims paid) | |
New insurance written | | $ | 236 | | | $ | 132 | | | $ | 141 | | | $ | 136 | | | $ | 645 | | | $ | 160 | | | $ | 62 | | | $ | 24 | | | $ | 32 | | | $ | 278 | |
New credit default swaps written | | $ | 12,067 | | | $ | 1,919 | | | $ | — | | | $ | — | | | $ | 13,986 | | | $ | 5,994 | | | $ | 7,910 | | | $ | — | | | $ | 629 | | | $ | 14,533 | |
New reinsurance written | | $ | 617 | | | $ | 1,402 | | | $ | 1,778 | | | $ | 504 | | | $ | 4,301 | | | $ | 1,028 | | | $ | 2,248 | | | $ | 379 | | | $ | 627 | | | $ | 4,282 | |
Insurance in force | | $ | 62,929 | | | $ | 51,707 | | | $ | 48,120 | | | $ | 48,121 | | | $ | 62,929 | | | $ | 48,467 | | | $ | 49,976 | | | $ | 39,996 | | | $ | 39,254 | | | $ | 48,467 | |
Risk in force | | $ | 9,420 | | | $ | 5,711 | | | $ | 3,813 | | | $ | 3,824 | | | $ | 9,420 | | | $ | 3,850 | | | $ | 4,441 | | | $ | 2,836 | | | $ | 2,760 | | | $ | 3,850 | |
Claims paid including credit default swaps(in thousands) | | $ | 2,898 | | | $ | 3,207 | | | $ | 2,577 | | | $ | 1,547 | | | $ | 10,229 | | | $ | 1,095 | | | $ | 1,228 | | | $ | 919 | | | $ | 644 | | | $ | 3,886 | |
PMI ASIA STATISTICAL INFORMATION | |
| | 2007 | | | 2006 | |
| | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total(13) | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total(13) | |
| | (U.S. dollars in millions, except claims paid and average claim size) | |
New reinsurance written | | $ | 256 | | | $ | 220 | | | $ | 212 | | | $ | 167 | | | $ | 855 | | | $ | 156 | | | $ | 234 | | | $ | 105 | | | $ | 105 | | | $ | 600 | |
Insurance in force | | $ | 2,724 | | | $ | 2,663 | | | $ | 2,596 | | | $ | 2,526 | | | $ | 2,724 | | | $ | 2,484 | | | $ | 2,450 | | | $ | 2,441 | | | $ | 2,424 | | | $ | 2,484 | |
Risk in force | | $ | 310 | | | $ | 314 | | | $ | 309 | | | $ | 306 | | | $ | 310 | | | $ | 306 | | | $ | 308 | | | $ | 313 | | | $ | 314 | | | $ | 306 | |
Policies in force | | | 11,773 | | | | 11,530 | | | | 11,437 | | | | 11,189 | | | | 11,773 | | | | 11,039 | | | | 10,889 | | | | 10,810 | | | | 10,759 | | | | 11,039 | |
Loans in default | | | 14 | | | | 14 | | | | 16 | | | | 16 | | | | 14 | | | | 16 | | | | 16 | | | | 24 | | | | 18 | | | | 16 | |
Default rate | | | 0.12 | % | | | 0.12 | % | | | 0.14 | % | | | 0.14 | % | | | 0.12 | % | | | 0.14 | % | | | 0.15 | % | | | 0.22 | % | | | 0.17 | % | | | 0.14 | % |
Claims paid(in thousands) | | $ | 24 | | | $ | — | | | $ | — | | | $ | 9 | | | $ | 33 | | | $ | 39 | | | $ | 89 | | | $ | 27 | | | $ | 25 | | | $ | 180 | |
Number of claims paid | | | 1 | | | | — | | | | — | | | | 1 | | | | 2 | | | | 2 | | | | 4 | | | | 1 | | | | 1 | | | | 8 | |
Average claim size(in thousands) | | $ | 24 | | | $ | — | | | $ | — | | | $ | 9 | | | $ | 17 | | | $ | 20 | | | $ | 22 | | | $ | 27 | | | $ | 25 | | | $ | 23 | |
Page 20
THE PMI GROUP, INC. AND SUBSIDIARIES
FINANCIAL GUARANTY SEGMENT(3) RESULTS OF OPERATIONS AND BALANCE SHEETS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 |
Income Statement Components - Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total |
| | (Dollars in thousands) | | | (Dollars in thousands) |
Net premiums written | | $ | 396 | | | $ | 202 | | | $ | 1,414 | | | $ | 4,741 | | | $ | 6,753 | | | $ | 1,590 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,590 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 436 | | | $ | 438 | | | $ | 552 | | | $ | 207 | | | $ | 1,633 | | | $ | 1 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1 |
Net investment income | | | 2,250 | | | | 2,321 | | | | 2,314 | | | | 2,321 | | | | 9,206 | | | | 2,036 | | | | (1 | ) | | | 2 | | | | — | | | | 2,037 |
Net realized investment losses | | | 3 | | | | (354 | ) | | | — | | | | — | | | | (351 | ) | | | — | | | | — | | | | — | | | | — | | | | — |
Impairment of unconsolidated subsidiary(15) | | | (38,499 | ) | | | — | | | | — | | | | — | | | | (38,499 | ) | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues (including equity in losses) | | | (35,810 | ) | | | 2,405 | | | | 2,866 | | | | 2,528 | | | | (28,011 | ) | | | 2,037 | | | | (1 | ) | | | 2 | | | | — | | | | 2,038 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | 2,649 | | | | — | | | | — | | | | — | | | | 2,649 | | | | — | | | | — | | | | — | | | | — | | | | — |
Amortization of deferred policy acquisition costs | | | 313 | | | | 274 | | | | 269 | | | | 102 | | | | 958 | | | | 1 | | | | — | | | | — | | | | — | | | | 1 |
Other underwriting and operating expenses | | | 1,112 | | | | 507 | | | | 432 | | | | 454 | | | | 2,505 | | | | 716 | | | | — | | | | — | | | | — | | | | 716 |
Interest expense(11) | | | 731 | | | | 731 | | | | 732 | | | | 731 | | | | 2,925 | | | | 569 | | | | — | | | | — | | | | — | | | | 569 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 4,805 | | | | 1,512 | | | | 1,433 | | | | 1,287 | | | | 9,037 | | | | 1,286 | | | | — | | | | — | | | | — | | | | 1,286 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | | | (40,615 | ) | | | 893 | | | | 1,433 | | | | 1,241 | | | | (37,048 | ) | | | 751 | | | | (1 | ) | | | 2 | | | | — | | | | 752 |
Equity in (losses) earnings from unconsolidated subsidiaries: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity in (losses) earnings excluding gains and losses on credit derivative contracts | | | (320,082 | ) | | | 29,542 | | | | 35,302 | | | | 31,577 | | | | (223,661 | ) | | | 30,910 | | | | 26,247 | | | | 26,625 | | | | 23,301 | | | | 107,083 |
Net realized and unrealized (losses) gains on credit derivative contracts | | | (474,555 | ) | | | (56,283 | ) | | | (4,460 | ) | | | 126 | | | | (535,172 | ) | | | 43 | | | | 302 | | | | (149 | ) | | | (66 | ) | | | 130 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity in (losses) earnings from unconsolidated subsidiaries | | | (794,637 | ) | | | (26,741 | ) | | | 30,842 | | | | 31,703 | | | | (758,833 | ) | | | 30,953 | | | | 26,549 | | | | 26,476 | | | | 23,235 | | | | 107,213 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(Loss) income before income taxes | | | (835,252 | ) | | | (25,848 | ) | | | 32,275 | | | | 32,944 | | | | (795,881 | ) | | | 31,704 | | | | 26,548 | | | | 26,478 | | | | 23,235 | | | | 107,965 |
Income tax (benefit) expense | | | (69,096 | ) | | | (1,456 | ) | | | 3,261 | | | | 3,080 | | | | (64,211 | ) | | | 3,281 | | | | 2,820 | | | | 2,469 | | | | 2,136 | | | | 10,706 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (loss) income | | $ | (766,156 | ) | | $ | (24,392 | ) | | $ | 29,014 | | | $ | 29,864 | | | $ | (731,670 | ) | | $ | 28,423 | | | $ | 23,728 | | | $ | 24,009 | | | $ | 21,099 | | | $ | 97,259 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Balance Sheet Components - As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | |
| | | | | (Dollars in thousands) | | | | | | | | | | | | (Dollars in thousands) | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 167,915 | | | $ | 167,276 | | | $ | 165,422 | | | $ | 133,461 | | | | | | | $ | 77,803 | | | $ | 113 | | | $ | 108 | | | $ | — | | |
Equity securities: preferred | | | 22,465 | | | | 26,880 | | | | 25,131 | | | | 24,459 | | | | | | | | 16,025 | | | | — | | | | — | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investments | | $ | 190,380 | | | $ | 194,156 | | | $ | 190,553 | | | $ | 157,920 | | | | | | | $ | 93,828 | | | $ | 113 | | | $ | 108 | | | $ | — | | |
Cash and cash equivalents | | | 11,252 | | | | 11,610 | | | | 15,414 | | | | 56,260 | | | | | | | | 116,449 | | | | 1,890 | | | | 1,887 | | | | — | | |
Investments in unconsolidated subsidiaries | | | 163,661 | | | | 984,417 | | | | 996,431 | | | | 977,523 | | | | | | | | 950,249 | | | | 916,659 | | | | 867,923 | | | | 850,686 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 187 | | | | 131 | | | | 132 | | | | 133 | | | | | | | | — | | | | — | | | | — | | | | — | | |
Other assets | | | 56,828 | | | | 7,740 | | | | 7,594 | | | | 7,464 | | | | | | | | 4,292 | | | | 1 | | | | 3 | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 422,308 | | | $ | 1,198,054 | | | $ | 1,210,124 | | | $ | 1,199,300 | | | | | | | $ | 1,164,818 | | | $ | 918,663 | | | $ | 869,921 | | | $ | 850,686 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reserve for losses and loss adjustment expenses | | $ | 2,650 | | | $ | — | | | $ | — | | | $ | — | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Unearned premiums | | | 6,709 | | | | 6,748 | | | | 6,984 | | | | 6,123 | | | | | | | | 1,589 | | | | — | | | | — | | | | — | | |
Long-term debt | | | 50,000 | | | | 50,000 | | | | 50,000 | | | | 50,000 | | | | | | | | 50,000 | | | | — | | | | — | | | | — | | |
Other liabilities | | | 2,892 | | | | 37,766 | | | | 40,817 | | | | 45,745 | | | | | | | | 41,440 | | | | 26,051 | | | | 23,421 | | | | 21,148 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 62,251 | | | | 94,514 | | | | 97,801 | | | | 101,868 | | | | | | | | 93,029 | | | | 26,051 | | | | 23,421 | | | | 21,148 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital and retained earnings | | | 348,388 | | | | 1,105,295 | | | | 1,114,767 | | | | 1,097,493 | | | | | | | | 1,071,865 | | | | 892,610 | | | | 846,502 | | | | 829,538 | | |
Accumulated other comprehensive (loss) income, net of deferred taxes | | | 11,669 | | | | (1,755 | ) | | | (2,444 | ) | | | (61 | ) | | | | | | | (76 | ) | | | 2 | | | | (2 | ) | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s equity | | | 360,057 | | | | 1,103,540 | | | | 1,112,323 | | | | 1,097,432 | | | | | | | | 1,071,789 | | | | 892,612 | | | | 846,500 | | | | 829,538 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity | | $ | 422,308 | | | $ | 1,198,054 | | | $ | 1,210,124 | | | $ | 1,199,300 | | | | | | | $ | 1,164,818 | | | $ | 918,663 | | | $ | 869,921 | | | $ | 850,686 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Page 21
THE PMI GROUP, INC. AND SUBSIDIARIES
CORPORATE AND OTHER SEGMENT(4) RESULTS OF OPERATIONS AND BALANCE SHEETS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2007 | | | 2006 | |
Income Statement Components - Quarter Ended | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | Total | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | Total | |
| | (Dollars in thousands) | | | (Dollars in thousands) | |
Net premiums written | | $ | 19 | | | $ | 14 | | | $ | 7 | | | $ | 12 | | | $ | 52 | | | $ | 19 | | | $ | 16 | | | $ | 11 | | | $ | 10 | | | $ | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Revenues | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premiums earned | | $ | 10 | | | $ | 18 | | | $ | 16 | | | $ | 13 | | | $ | 57 | | | $ | 12 | | | $ | 19 | | | $ | 16 | | | $ | 18 | | | $ | 65 | |
Net investment income | | | 1,400 | | | | 1,935 | | | | 2,258 | | | | 2,832 | | | | 8,425 | | | | 3,643 | | | | 5,157 | | | | 6,324 | | | | 6,405 | | | | 21,529 | |
Net realized investment losses | | | (1 | ) | | | (1,886 | ) | | | (620 | ) | | | (726 | ) | | | (3,233 | ) | | | (248 | ) | | | (4,346 | ) | | | (1 | ) | | | (40 | ) | | | (4,635 | ) |
Settlement gain on sale of unconsolidated subsidiary(16) | | | 12,670 | | | | — | | | | — | | | | — | | | | 12,670 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Other income | | | 3,270 | | | | 4,563 | | | | 4,769 | | | | 1,706 | | | | 14,308 | | | | 2,829 | | | | 3,204 | | | | 3,714 | | | | 3,779 | | | | 13,526 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 17,349 | | | | 4,630 | | | | 6,423 | | | | 3,825 | | | | 32,227 | | | | 6,236 | | | | 4,034 | | | | 10,053 | | | | 10,162 | | | | 30,485 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and expenses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses and loss adjustment expenses | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1 | | | | (3 | ) | | | — | | | | — | | | | (2 | ) |
Other underwriting and operating expenses(6) | | | 18,400 | | | | 16,918 | | | | 19,925 | | | | 24,013 | | | | 79,256 | | | | 29,085 | | | | 22,359 | | | | 19,443 | | | | 22,866 | | | | 93,753 | |
Interest expense | | | 7,619 | | | | 7,591 | | | | 7,627 | | | | 7,522 | | | | 30,359 | | | | 11,753 | | | | 9,361 | | | | 8,066 | | | | 8,179 | | | | 37,359 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 26,019 | | | | 24,509 | | | | 27,552 | | | | 31,535 | | | | 109,615 | | | | 40,839 | | | | 31,717 | | | | 27,509 | | | | 31,045 | | | | 131,110 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | | | (8,670 | ) | | | (19,879 | ) | | | (21,129 | ) | | | (27,710 | ) | | | (77,388 | ) | | | (34,603 | ) | | | (27,683 | ) | | | (17,456 | ) | | | (20,883 | ) | | | (100,625 | ) |
Equity in earnings (losses) from unconsolidated subsidiaries | | | 8 | | | | (28 | ) | | | 289 | | | | (55 | ) | | | 214 | | | | (124 | ) | | | (68 | ) | | | 82 | | | | (102 | ) | | | (212 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss before income taxes | | | (8,662 | ) | | | (19,907 | ) | | | (20,840 | ) | | | (27,765 | ) | | | (77,174 | ) | | | (34,727 | ) | | | (27,751 | ) | | | (17,374 | ) | | | (20,985 | ) | | | (100,837 | ) |
Income tax benefit | | | (6,528 | ) | | | (8,869 | ) | | | (6,015 | ) | | | (7,932 | ) | | | (29,344 | ) | | | (9,581 | ) | | | (7,978 | ) | | | (5,319 | ) | | | (6,521 | ) | | | (29,399 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net loss | | $ | (2,134 | ) | | $ | (11,038 | ) | | $ | (14,825 | ) | | $ | (19,833 | ) | | $ | (47,830 | ) | | $ | (25,146 | ) | | $ | (19,773 | ) | | $ | (12,055 | ) | | $ | (14,464 | ) | | $ | (71,438 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Balance Sheet Components - As of Quarter End | | 12/31/2007 | | | 9/30/2007 | | | 6/30/2007 | | | 3/31/2007 | | | | | | 12/31/2006 | | | 9/30/2006 | | | 6/30/2006 | | | 3/31/2006 | | | | |
| | (Dollars in thousands) | | | | | | (Dollars in thousands) | | |
Assets | | | | | | | | | | | | | |
Investments - available-for-sale, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed income securities | | $ | 52,974 | | | $ | 53,088 | | | $ | 53,120 | | | $ | 53,849 | | | | | | | $ | 56,135 | | | $ | 129,727 | �� | | $ | 153,702 | | | $ | 167,432 | | |
Equity securities: common | | | 1,242 | | | | 1,275 | | | | 3,477 | | | | 4,250 | | | | | | | | — | | | | — | | | | — | | | | — | | |
Short term investments | | | 1,300 | | | | 1,301 | | | | 1,300 | | | | 1,300 | | | | | | | | 1,300 | | | | 98,491 | | | | 117,295 | | | | 116,362 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investments | | $ | 55,516 | | | $ | 55,664 | | | $ | 57,897 | | | $ | 59,399 | | | | | | | $ | 57,435 | | | $ | 228,218 | | | $ | 270,997 | | | $ | 283,794 | | |
Cash and cash equivalents | | | 51,512 | | | | 45,335 | | | | 163,700 | | | | 100,574 | | | | | | | | 143,033 | | | | 507,569 | | | | 155,572 | | | | 295,408 | | |
Investments in unconsolidated subsidiaries | | | 14,914 | | | | 15,158 | | | | 15,224 | | | | 15,200 | | | | | | | | 17,735 | | | | 18,814 | | | | 19,283 | | | | 18,803 | | |
Property, equipment and software, net of accumulated depreciation and amortization | | | 79,142 | | | | 79,594 | | | | 80,807 | | | | 81,867 | | | | | | | | 82,987 | | | | 83,822 | | | | 85,212 | | | | 86,131 | | |
Other assets | | | 49,657 | | | | 39,901 | | | | 42,165 | | | | 14,222 | | | | | | | | 23,861 | | | | 24,851 | | | | 32,271 | | | | 38,143 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | $ | 250,741 | | | $ | 235,652 | | | $ | 359,793 | | | $ | 271,262 | | | | | | | $ | 325,051 | | | $ | 863,274 | | | $ | 563,335 | | | $ | 722,279 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unearned premiums | | $ | 29 | | | $ | 21 | | | $ | 25 | | | $ | 33 | | | | | | | $ | 34 | | | $ | 27 | | | $ | 31 | | | $ | 36 | | |
Debt | | | 446,593 | | | | 446,593 | | | | 446,593 | | | | 446,593 | | | | | | | | 446,593 | | | | 1,264,435 | | | | 819,529 | | | | 819,529 | | |
Other (assets) | | | (515 | ) | | | (16,256 | ) | | | (2,423 | ) | | | (76,061 | ) | | | | | | | (65,622 | ) | | | (26,187 | ) | | | (43,410 | ) | | | (32,873 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 446,107 | | | | 430,358 | | | | 444,195 | | | | 370,565 | | | | | | | | 381,005 | | | | 1,238,275 | | | | 776,150 | | | | 786,692 | | |
Shareholder’s equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common stock, additional paid-in capital, treasury stock and retained earnings | | | (190,290 | ) | | | (191,753 | ) | | | (65,912 | ) | | | (92,503 | ) | | | | | | | (52,925 | ) | | | (368,806 | ) | | | (190,462 | ) | | | (46,502 | ) | |
Accumulated other comprehensive loss, net of deferred taxes | | | (5,076 | ) | | | (2,953 | ) | | | (18,490 | ) | | | (6,800 | ) | | | | | | | (3,029 | ) | | | (6,195 | ) | | | (22,353 | ) | | | (17,911 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total shareholder’s deficit | | | (195,366 | ) | | | (194,706 | ) | | | (84,402 | ) | | | (99,303 | ) | | | | | | | (55,954 | ) | | | (375,001 | ) | | | (212,815 | ) | | | (64,413 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities and shareholder’s equity (deficit) | | $ | 250,741 | | | $ | 235,652 | | | $ | 359,793 | | | $ | 271,262 | | | | | | | $ | 325,051 | | | $ | 863,274 | | | $ | 563,335 | | | $ | 722,279 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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